The Random Walk behind Volatility Clustering
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Cited by:
- Yu Shi & Qixuan Luo & Handong Li, 2019. "An Agent-Based Model of a Pricing Process with Power Law, Volatility Clustering, and Jumps," Complexity, Hindawi, vol. 2019, pages 1-10, February.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2017-01-15 (Risk Management)
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