Asset returns and volatility clustering in financial time series
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tseng, Jie-Jun & Li, Sai-Ping, 2012. "Quantifying volatility clustering in financial time series," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 11-19.
- Michele Berardi, 2016.
"Endogenous time-varying risk aversion and asset returns,"
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- Michele Berardi, 2012. "Endogenous time-varying risk aversion and asset return," Centre for Growth and Business Cycle Research Discussion Paper Series 168, Economics, The Univeristy of Manchester.
- Ross, Gordon J., 2013. "Modelling financial volatility in the presence of abrupt changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(2), pages 350-360.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-13 (All new papers)
- NEP-ECM-2010-02-13 (Econometrics)
- NEP-FMK-2010-02-13 (Financial Markets)
- NEP-MST-2010-02-13 (Market Microstructure)
- NEP-RMG-2010-02-13 (Risk Management)
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