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A new space-time model for volatility clustering in the financial market
space-time model volatility clustering financial market
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2010/10/18
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the m...
Asset returns and volatility clustering in financial time series
Asset returns volatility clustering financial time series
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2010/10/18
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation function...
Wavelet Based Volatility Clustering Estimation of Foreign Exchange Rates
Time-Scale analysis Intermittency Nonlinearity and Chaos
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2010/11/2
We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar( US/EUR) using a combination of both statistical and ...