Market heterogeneities and the causal structure of volatility

DOI10.1088/1469-7688/3/4/308zbMath1405.91707OpenAlexW1967485253MaRDI QIDQ4647275

P. Lynch, Gilles Zumbach

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/4/308

zbMATH Keywords

volatilitiesmarket heterogeneitiesmarket participants

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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