Heterogeneous volatility cascade in financial markets

Physica A: Statistical Mechanics and its Applications

Volumn 298, Issue 3-4, 2001, Pages 521-529

  Zumbach, Gilles ^a   Lynch, Paul ^a,b  

^a Olsen Ltd   (Switzerland)

^b UNIVERSITY OF MANCHESTER   (United Kingdom)

Author keywords

ARCH model; Econophysics; Market components; Turbulence; Volatility cascade

Indexed keywords

CORRELATION METHODS; FINANCE; INTERNATIONAL TRADE; MARKETING;

FINANCIAL MARKETS; FOREIGN EXCHANGE (FX);

ECONOMICS;

EID: 0035884999     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(01)00249-7     Document Type: Article

References (13)

1. Efficient capital markets: A review of theory and empirical work
2. Symposium on some anomalous evidence regarding market efficiency (issue title)
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5. Volatilities of different time resolutions - Analyzing the dynamics of market components
6. A geographical model for the daily and weekly seasonal volatility in the FX market
7. Operators on inhomogeneous time series
8. Causal cascade in the stock market from the "infrared" to the "ultraviolet"
9. Generalized autoregressive conditional heteroskedasticity
10. Modelling short-term volatility with GARCH and HARCH models