Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models.
نویسندگان
چکیده
منابع مشابه
Volatility Clustering in Financial Markets: Empirical Facts and Agent–Based Models
Time series of financial asset returns often exhibit the volatility clustering property: large changes in prices tend to cluster together, resulting in persistence of the amplitudes of price changes. After recalling various methods for quantifying and modeling this phenomenon, we discuss several economic mechanisms which have been proposed to explain the origin of this volatility clustering in ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.1411462