Work

Modelling financial volatility in the presence of abrupt changes

Year: 2012

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2012.08.015

Author: Gordon J. Ross

Institutions: University of Bristol, Heilbronn Institute for Mathematical Research

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2089627747

FWCI: 6.381

Cites: 35

Cited by: 47

Related to: 10