The fine-structure of volatility feedback. I: Multi-scale self-reflexivity (Q1782966)

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The fine-structure of volatility feedback. I: Multi-scale self-reflexivity
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    title
    The fine-structure of volatility feedback. I: Multi-scale self-reflexivity (English)
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    published in
    Physica A
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    publication date
    20 September 2018
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    Mathematics Subject Classification ID
    91G80
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    91G70
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    62M10
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    62P05
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    zbMATH DE Number
    6940101
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    zbMATH Keywords
    volatility dynamics
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    GARCH models
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    endogenous feedback
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    time reversal invariance
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    stock markets
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