An Agent-Based Model of a Pricing Process with Power Law, Volatility Clustering, and Jumps
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DOI: 10.1155/2019/3429412
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Cited by:
- Venelina Nikolova & Juan E. Trinidad Segovia & Manuel Fernández-Martínez & Miguel Angel Sánchez-Granero, 2020. "A Novel Methodology to Calculate the Probability of Volatility Clusters in Financial Series: An Application to Cryptocurrency Markets," Mathematics, MDPI, vol. 8(8), pages 1-15, July.
- Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2019. "A novel approach to detect volatility clusters in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
- Sabiou M. Inoua, 2020.
"News-Driven Expectations and Volatility Clustering,"
JRFM, MDPI, vol. 13(1), pages 1-14, January.
- Sabiou M. Inoua, 2019. "News-Driven Expectations and Volatility Clustering," Working Papers 19-33, Chapman University, Economic Science Institute.
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