Stock volatility in the periods of booms and stagnations
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- Kaizoji, Taisei, 2010. "Stock volatility in the periods of booms and stagnations," MPRA Paper 23727, University Library of Munich, Germany.
References listed on IDEAS
- Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley, 1999. "Scaling of the distribution of fluctuations of financial market indices," Papers cond-mat/9905305, arXiv.org.
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- Taisei Kaizoji, 2006. "Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents," Papers physics/0603139, arXiv.org.
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- Michel M. Dacorogna, & Ulrich A. Muller & Olivier V. Pictet & Casper De Vries,, "undated". "The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets," Working Papers 1992-10-22, Olsen and Associates.
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More about this item
KeywordsStock volatility; booms; stagnations; power-law distributions; and exponential distributions.;
- G00 - Financial Economics - - General - - - General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
NEP fieldsThis paper has been announced in the following NEP Reports:
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