Waiting time distributions of the volatility in the Italian MIB30 index: Clustering or Poisson functions?

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 16-17, 2008, Pages 4272-4284

  Greco, Antonella ^a   Sorriso Valvo, Luca ^a   Carbone, Vincenzo ^a   Cidone, Stefano ^a  

^a UNIVERSITY OF CALABRIA   (Italy)

Author keywords

Econophysics; Italian market; Volatility; Waiting times

Indexed keywords

AUTOCORRELATION; ECONOMIC ANALYSIS; POISSON DISTRIBUTION; PROBABILITY DENSITY FUNCTION; RANDOM PROCESSES; TIME SERIES ANALYSIS;

ECONOPHYSICS; INDEX VOLATILITY; PRICE FORMATION PROCESS; WAITING TIME DISTRIBUTIONS; WAITING TIMES;

FINANCIAL DATA PROCESSING;

EID: 43049154960     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.03.007     Document Type: Article

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