The riddle of volatility clusters
In this financial engineering research we evaluate if observed non normalities in the market price distributions are caused mainly by a volatility clustering or also by another nonclustering mechanism. Such findings allow us to assess accor d ing to which rules the market price is actually develo...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2014-06-01
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| Series: | Business: Theory and Practice |
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| Online Access: | https://journals.vgtu.lt/index.php/BTP/article/view/8389 |