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Clustering of volatility as a multiscale phenomenon

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  • M. Pasquini
  • M. Serva

Abstract

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Suggested Citation

  • M. Pasquini & M. Serva, 2000. "Clustering of volatility as a multiscale phenomenon," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 16(1), pages 195-201, July.
    • Handle: RePEc:spr:eurphb:v:16:y:2000:i:1:p:195-201
    DOI: 10.1007/s100510070265
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    Citations

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    Cited by:

    1. Petroni, Filippo & Serva, Maurizio, 2016. "Observability of market daily volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 838-842.
    2. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
    3. Zhou, Wei-Xing, 2012. "Finite-size effect and the components of multifractality in financial volatility," Chaos, Solitons & Fractals, Elsevier, vol. 45(2), pages 147-155.
    4. Muniandy, Sithi V. & Uning, Rosemary, 2006. "Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(2), pages 585-598.
    5. Filippo Petroni & Maurizio Serva, 2015. "Observability of Market Daily Volatility," Papers 1503.08032, arXiv.org.
    6. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
    7. Lin, Xiaoqiang & Tang, Zhenpeng & Fei, Fangyu, 2013. "Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4064-4074.
    8. Mu, Guo-Hua & Zhou, Wei-Xing, 2008. "Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5211-5218.
    9. Jaume Masoliver & Josep Perello, 2006. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 423-433.
    10. Sornette, Didier & Zhou, Wei-Xing, 2006. "Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 704-726.
    11. Guglielmo D'Amico & Filippo Petroni, 2020. "A micro-to-macro approach to returns, volumes and waiting times," Papers 2007.06262, arXiv.org.
    12. Hernández-Pérez, R., 2012. "Allan deviation analysis of financial return series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(9), pages 2883-2888.

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