Heterogeneous volatility cascade in financial markets

DOI10.1016/S0378-4371(01)00249-7zbMath0971.91022arXivcond-mat/0105162MaRDI QIDQ5942417

P. Lynch, Gilles Zumbach

Publication date: 29 August 2001

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0105162

zbMATH Keywords

ARCH-type model; characteristic memory; response function

Mathematics Subject Classification ID

91B26: Auctions, bargaining, bidding and selling, and other market models

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Cites Work

• Generalized autoregressive conditional heteroscedasticity
• OPERATORS ON INHOMOGENEOUS TIME SERIES