Clustering of volatility as a multiscale phenomenon

European Physical Journal B

Volumn 16, Issue 1, 2000, Pages 195-201

  Pasquini, M ^a   Serva, M ^a  

^a UNIVERSITY OF L'AQUILA   (Italy)

Author keywords

02.50. r Probability theory, stochastic processes, and statistics; 89.90.+n Other topics of general interest to physicists

Indexed keywords

EID: 0011913398     PISSN: 14346028     EISSN: None     Source Type: Journal    
DOI: 10.1007/s100510070265     Document Type: Article

References (34)

1. S. Taylor, Modeling financial time series (John Wiley and Sons, New York, 1986).
2. Z. Ding, C.W.J. Granger, R.F. Engle, J. Empirical Finance 1, 83 (1993).
3. R.T. Baillie, T. Bollerslev, J. Int. Money and Finance 13, 565 (1994).
4. N. Crato, P. De Lima, Economic Lett. 45, 281 (1994).
5. R.T. Baillie, J. Econometrics 73, 5 (1996).
6. A. Pagan, J. Empirical Finance 3, 15 (1996).
7. R.F. Engle, Econometrica 50, 987 (1982).
8. P. Jorion, J. Finance L, 507 (1995).
9. T.G. Andersen, T. Bollerslev, J. Finance LIII, 220 (1998).
10. A.C. Harvey, Long memory in stochastic volatility, Research Reports Series, Statistics Department (London School of Economics, 1993).
11. P. De Lima, F.J. Breidt, N. Crato, Modelling long-memory stochastic volatility, mimeo (Johns Hopkins University, 1994).
12. R.T. Baillie, T. Bollerslev, H.O. Mikkelsen, J. Econometrics 74, 3-30 (1996).
13. G. Paladin, A. Vulpiani, Phys. Rep. 156, 147 (1987).
14. S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, Y. Dodge, Nature 381, 767 (1996).
15. A. Arneodo, J.-F. Muzy, D. Sornette, Eur. Phys. J. B 2, 277 (1998).
16. R. Mantegna, H.E. Stanley, Nature 383, 587 (1996).
17. N. Vandewalle, M. Ausloos, Eur. Phys. J. B 4, 257 (1998).
18. M. Pasquini, M. Serva, Economics Lett. 65, 275 (1999).
19. M. Pasquini, M. Serva, Multiscaling and clustering of volatility. Proceedings of International Workshop on econophysics and statistical finance, Palermo (Italy) 1998. Physica A 269, 140 (1999).
20. P.K. Clark, Econometrica 41, 135 (1973).
21. B.B. Mandelbrot, J. Business 36, 394 (1963).
22. R. Mantegna, H.E. Stanley, Nature 376, 46 (1995).
23. R. Mantegna, H.E. Stanley, An Introduction to Econophysics: Correlations and Complexity in Finance (Cambridge University Press, 1999).
24. P. Gopikrishnan, M. Meyer, L.A. Nunes Amaral, H.E. Stanley, Eur. Phys. J. B 3, 139 (1998).
25. P. Gopikrishnan, V. Plerou, L.A. Nunes Amaral, M. Meyer H.E. Stanley, Phys. Rev. E 60, 5305 (1999).
26. L. Kullmann, J. Töyli, J. Kertész, A. Kanto, K. Kaski, Physica A 269, 98 (1999).
27. Y. Liu, P. Cizeau, M. Meyer, C.-K. Peng, H.E. Stanley, Physica A 245, 437 (1997).
28. Y. Liu, P. Gopikrishnan, P. Cizeau, M. Meyer, C.-K. Peng, H.E. Stanley, The statistical properties of the volatility of price fluctuations, preprint cond-mat/9903369.
29. P. Cizeau, Y. Liu, M. Meyer, C.-K. Peng, H.E. Stanley, Physica A 245, 441 (1997).
30. M. Levy, S. Solomon, Int. J. Mod. Phys. C 7, 65 (1996).
31. S. Solomon, M. Levy, Int. J. Mod. Phys. C 7, 745 (1996).
32. H. Levy, M. Levy, S. Solomon, Microscopic Simulation of Financial Markets (Academic Press, 1999).
33. D. Stauffer, D. Sornette, Physica A 271, 496 (1999).
34. D. Sornette, D. Stauffer, H. Takayasu, Market fluctuations: multiplicative and percolations models, size effects and predictions, cond-mat/9909439.