VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (Q4528083)
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scientific article; zbMATH DE number 1558390
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| English | VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS |
scientific article; zbMATH DE number 1558390 |
Statements
VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (English)
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2000
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on-off intermittency
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clustered volatility
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ARCH effects
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simulated time series
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0.8435948491096497
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0.8416754007339478
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0.8014301061630249
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0.7982761859893799
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