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Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models
16 references·16 citing·30 second hopsampled
Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)Volatility Clustering in Financial Market…The Economy as an Evolving Complex System II (2018)The Economy as an Evolving Co…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…The variation of certain speculative prices (1997)The variation of certain spec…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…A long memory property of stock market returns and a new model (1993)A long memory property of sto…ARCH modeling in finance (1992)ARCH modeling in financeLong-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…What Moves Stock Prices? (1988)What Moves Stock Prices?Long memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Cryptocurrency volatility: A review, synthesis, and research agenda (2024)Cryptocurrency volatility: A …Green bonds, conventional bonds and geopolitical risk (2023)Green bonds, conventional bon…Renewable energy stocks forecast using Twitter investor sentiment and deep learning (2022)Renewable energy stocks forec…Forecasting Foreign Exchange Volatility Using Deep Learning Autoencoder‐LSTM Techniques (2021)Forecasting Foreign Exchange …Can the Chinese volatility index reflect investor sentiment? (2020)Can the Chinese volatility in…The effect of symmetric and asymmetric information on volatility structure of crypto-currency markets (2019)The effect of symmetric and a…Pairs trading with a mean-reverting jump–diffusion model on high-frequency data (2018)Pairs trading with a mean-rev…Volatility Is Rough (2014)Volatility Is RoughThe fine-structure of volatility feedback I: Multi-scale self-reflexivity (2014)The fine-structure of volatil…Markets connectivity and financial contagion (2014)Markets connectivity and fina…Bank interlinkages and macroeconomic stability (2014)Bank interlinkages and macroe…Do emerging markets become more efficient as they develop? Long memory persistence in equity indices (2013)Do emerging markets become mo…A Calibration Procedure for Analyzing Stock Price Dynamics in an Agent-Based Framework (2013)A Calibration Procedure for A…Bankruptcy Cascades in Interbank Markets (2012)Bankruptcy Cascades in Interb…Agent-based economic models and econometrics (2012)Agent-based economic models a…Econophysics review: II. Agent-based models (2011)Econophysics review: II. Agen…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Long memory and regime switching (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)When Effect Becomes Cause: Policy Feedback and Political Change (1993)A Postcapitalist Politics (2006)Evolutionary games on graphs (2007)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)
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References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 2018The Economy as an Evolving Complex System II2,313 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1996Statistics for Long-Memory Processes.1,480 cited
  • 1980Long memory relationships and the aggregation of dynamic models1,448 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1988

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What Moves Stock Prices?
1,255 cited

Cited by

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  • 2012Agent-based economic models and econometrics222 cited
  • 2013Do emerging markets become more efficient as they develop? Long memory persistence in equity indices136 cited
  • 2012Bankruptcy Cascades in Interbank Markets85 cited
  • 2013A Calibration Procedure for Analyzing Stock Price Dynamics in an Agent-Based Framework76 cited
  • 2021Forecasting Foreign Exchange Volatility Using Deep Learning Autoencoder‐LSTM Techniques69 cited
  • 2022Renewable energy stocks forecast using Twitter investor sentiment and deep learning69 cited
  • 2014Markets connectivity and financial contagion62 cited
  • 2014The fine-structure of volatility feedback I: Multi-scale self-reflexivity49 cited
  • 2018Pairs trading with a mean-reverting jump–diffusion model on high-frequency data49 cited
  • 2014Bank interlinkages and macroeconomic stability48 cited
  • 2014Volatility Is Rough43 cited
  • 2024Cryptocurrency volatility: A review, synthesis, and research agenda38 cited
  • 2023Green bonds, conventional bonds and geopolitical risk36 cited
  • 2020Can the Chinese volatility index reflect investor sentiment?36 cited
  • 2019The effect of symmetric and asymmetric information on volatility structure of crypto-currency markets32 cited