Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics
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Publication:2157960
DOI10.1016/j.physa.2018.09.083OpenAlexW2893227230MaRDI QIDQ2157960
Linlu Jia, Jun Wang, Jinchuan Ke
Publication date: 22 July 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2018.09.083
MFDFAcross-correlationfinancial price modelstatistical physics systemfinite-range exclusion processvolatility aggregation intensityvolatility-clustering
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