On the concept of endogenous volatility

DOI10.1007/978-3-319-05185-7_6MaRDI QIDQ4562460zbMATH OpenOpenAlexFDO

Authors Orlando Gomes

Publication date 20 December 2018

Published in New Economic Windows (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10400.21/1419

zbMATH Keywords

business cycleschartists and fundamentalistsendogenous volatilitynonlinear dynamicsperiodicity and chaosvolatility clustering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(2)

• Endogenous versus exogenous shocks in systems with memory
• Structural attribution of observed volatility clustering

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