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The fine structure of volatility feedback. II: Overnight and intra-day effects - MaRDI portal

The fine structure of volatility feedback. II: Overnight and intra-day effects (Q1782696)

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The fine structure of volatility feedback. II: Overnight and intra-day effects
scientific article

    Statements

    title
    The fine structure of volatility feedback. II: Overnight and intra-day effects (English)
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    author
    Pierre Blanc
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    Rémy Chicheportiche
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    Jean-Philippe Bouchaud
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    published in
    Physica A
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    publication date
    20 September 2018
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    zbMATH Keywords
    volatility dynamics
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    GARCH models
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    endogenous feedback
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    stock markets
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    overnight
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    Identifiers

    Mathematics Subject Classification ID
    91G80
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    91G70
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    62M10
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    62P05
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    zbMATH DE Number
    6939840
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    OpenAlex ID
    W1773784909
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    arXiv ID
    1309.5806
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