Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy?
AbstractClustering volatility is shown to appear in a simple market model with noise trading simply because agents use volatility forecasting models. At the core of the argument lies a feed-back mechanism linking past observed volatility to present observed volatility. Its stability properties are critical as to what kind of volatility will ultimately be observed.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 7 (2007)
Issue (Month): 15 ()
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- G1 - Financial Economics - - General Financial Markets
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