Quantifying volatility clustering in financial time series

International Review of Financial Analysis

Volumn 23, Issue , 2012, Pages 11-19

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

^a INSTITUTE OF PHYSICS   (Taiwan)

Author keywords

Econophysics; Financial stylized facts; Volatility clustering

Indexed keywords

EID: 84862864977     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2011.06.017     Document Type: Article

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