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  • 标题:Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy?
  • 本地全文:下载
  • 作者:Matei Demetrescu
  • 期刊名称:Economics Bulletin
  • 电子版ISSN:1545-2921
  • 出版年度:2007
  • 卷号:7
  • 出版社:Economics Bulletin
  • 摘要:Clustering volatility is shown to appear in a simple market model with noise trading simply because agents use volatility forecasting models. At the core of the argument lies a feed-back mechanism linking past observed volatility to present observed volatility. Its stability properties are critical as to what kind of volatility will ultimately be observed.
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