On the Concept of Endogenous Volatility

DOI10.1007/978-3-319-05185-7_6zbMath1418.91410MaRDI QIDQ4562460

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 cycles; nonlinear dynamics; volatility clustering; endogenous volatility; chartists and fundamentalists; periodicity and chaos

Mathematics Subject Classification ID

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

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

91B84: Economic time series analysis

Uses Software

• DMC