Understanding volatility correlation behavior with a magnitude cross-correlation function

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 73, Issue 6, 2006, Pages

  Jun, Woo Cheol ^a   Oh, Gabjin ^a   Kim, Seunghwan ^a  

^a Asia Pacific Center for Theoretical Physics (APCTP)   (South Korea)

Author keywords

[No Author keywords available]

Indexed keywords

FUNCTION EVALUATION; NATURAL FREQUENCIES; SIGNAL PROCESSING; TIME SERIES ANALYSIS;

CORRELATION BEHAVIOR; CORRELATION PROPERTIES; CROSS-CORRELATION FUNCTION; MAGNITUDE FLUCTUATIONS;

CORRELATION THEORY;

EID: 33745609259     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.73.066128     Document Type: Article

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