On the Concept of Endogenous Volatility

DOI10.1007/978-3-319-05185-7_6zbMath1418.91410OpenAlexW1531488781MaRDI QIDQ4562460

Orlando Gomes

Publication date: 20 December 2018

Published in: New Economic Windows (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10400.21/1419

zbMATH Keywords

business cyclesnonlinear dynamicsvolatility clusteringendogenous volatilitychartists and fundamentalistsperiodicity and chaos

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Uses Software

• DMC

Cites Work

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