Work

Long-term memory and volatility clustering in high-frequency price changes

Year: 2007

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2007.08.061

Authors: Gabjin oh, Seunghwan Kim, Cheoljun Eom

Institutions: Pohang University of Science and Technology, Asia Pacific Center for Theoretical Physics, Pusan National University

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2015390758

FWCI: 9.257

Cites: 31

Cited by: 87

Related to: 10