Long-term memory and volatility clustering in high-frequency price changes

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 5-6, 2008, Pages 1247-1254

  oh, Gabjin ^a   Kim, Seunghwan ^a   Eom, Cheoljun ^b  

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

^b Pusan National University   (South Korea)

Author keywords

GARCH; Long term memory; Volatility clustering

Indexed keywords

CLUSTER ANALYSIS; COST EFFECTIVENESS; INTERNATIONAL TRADE; MARKETING; MATHEMATICAL MODELS; TIME SERIES ANALYSIS;

DETRENDED FLUCTUATION ANALYSIS (DFA); LONG TERM MEMORY; VOLATILITY CLUSTERING;

ECONOMIC ANALYSIS;

EID: 36749019719     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.08.061     Document Type: Article

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