Open Access System for Information Sharing

Login Library

 

Article
Cited 43 time in webofscience Cited 49 time in scopus
Metadata Downloads

Long-term memory and volatility clustering in high-frequency price changes

Title
Long-term memory and volatility clustering in high-frequency price changes
Authors
Oh, GKim, SEom, C
POSTECH Authors
Kim, S
Date Issued
Jan-2008
Publisher
ELSEVIER SCIENCE BV
Keywords
long-term memory; volatility clustering; GARCH; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; FINANCIAL TIME-SERIES; RANGE CORRELATIONS; STOCK-MARKET; FLUCTUATIONS
URI
http://oasis.postech.ac.kr/handle/2014.oak/22984
DOI
10.1016/J.PHYSA.2007.08.061
ISSN
0378-4371
Article Type
Article
Citation
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, vol. 387, no. 5-6, page. 1247 - 1254, 2008-01
Files in This Item:
There are no files associated with this item.

qr_code

  • mendeley

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

Related Researcher

Researcher

 KIM, SEUNGHWAN
Dept of Physics
Read more

Views & Downloads

Browse