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

DOI10.1016/j.physa.2014.05.007zbMath1402.91942arXiv1206.2153MaRDI QIDQ1782966

Jean-Philippe Bouchaud, Rémy Chicheportiche

Publication date: 20 September 2018

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

Full work available at URL: https://arxiv.org/abs/1206.2153

zbMATH Keywords

GARCH models; stock markets; time reversal invariance; endogenous feedback; volatility dynamics

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91G80: Financial applications of other theories

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