Stochastic GARCH dynamics describing correlations between stocks

Physica A: Statistical Mechanics and its Applications

Volumn 410, Issue , 2014, Pages 623-627

  Prat Ortega, G ^a   Savel'Ev, S E ^a  

^a LOUGHBOROUGH UNIVERSITY   (United Kingdom)

Author keywords

GARCH; Long range correlations; Price dynamics

Indexed keywords

DYNAMICS; ECONOMICS; INVESTMENTS; PROBABILITY DISTRIBUTIONS; STOCHASTIC SYSTEMS;

FOREIGN EXCHANGE RATES; GARCH; GARCH PROCESS; LONG RANGE CORRELATIONS; NOISE SPECTRA; PRICE DYNAMICS; PROBABILITY DENSITY DISTRIBUTION; STOCK RETURNS;

FINANCIAL MARKETS;

EID: 84902664326     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2014.05.047     Document Type: Article

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