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
scientific article

    Statements

    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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    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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    cites work
    Q3400731
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    Quadratic ARCH Models
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    Identifiers

    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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    OpenAlex ID
    W2081300120
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    arXiv ID
    1206.2153
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