Volatility Co-Movement in Stock Markets

Volatility Co-Movement in Stock Markets

The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar functions in the physics of many-body systems, where the collective motions are a signal of structural rearrangement. This methodology is aimed to...

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Bibliographic Details
Main Authors: María Nieves López-García, Miguel Angel Sánchez-Granero, Juan Evangelista Trinidad-Segovia, Antonio Manuel Puertas, Francisco Javier De las Nieves
Format: Article
Language:English
Published: MDPI AG 2021-03-01
Series:Mathematics
Subjects:
co-movement
volatility
econophysics
stock market
Online Access:https://www.mdpi.com/2227-7390/9/6/598

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