Asset returns and volatility clustering in financial time series

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 7, 2011, Pages 1300-1314

  Tseng, Jie Jun ^a   Li, Sai Ping ^a,b  

^a INSTITUTE OF PHYSICS   (Taiwan)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Econophysics; Financial stylized facts; Heavy tailed distribution; Volatility clustering

Indexed keywords

FINANCE; FINANCIAL DATA PROCESSING; TIME SERIES;

AUTOCORRELATION FUNCTIONS; CONVENTIONAL METHODS; DEGREE OF CLUSTERING; ECONOPHYSICSS; FINANCIAL TIME SERIES; HEAVY-TAILED DISTRIBUTION; STYLIZED FACTS; VOLATILITY CLUSTERING;

TIME SERIES ANALYSIS;

EID: 79551498045     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.12.002     Document Type: Article

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