Multiscaling and clustering of volatility

Physica A: Statistical Mechanics and its Applications

Volumn 269, Issue 1, 1999, Pages 140-147

  Pasquini, Michele ^a   Serva, Maurizio ^a  

^a I 67010 Coppito   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION METHODS; COSTS; MATHEMATICAL MODELS; PROBABILITY DISTRIBUTIONS; RISK MANAGEMENT;

MULTISCALING; VOLATILITY CORRELATIONS;

STATISTICAL MECHANICS;

EID: 0032674634     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(99)00088-6     Document Type: Article

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