Market heterogeneities and the causal structure of volatility

DOI10.1088/1469-7688/3/4/308zbMath1405.91707OpenAlexW1967485253MaRDI QIDQ4647275

P. Lynch, Gilles Zumbach

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/4/308

zbMATH Keywords

volatilitiesmarket heterogeneitiesmarket participants

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (8)

A path-independent method for barrier option pricing in hidden Markov models ⋮ Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries ⋮ The Zumbach effect under rough Heston ⋮ Volatility processes and volatility forecast with long memory ⋮ The fine-structure of volatility feedback. I: Multi-scale self-reflexivity ⋮ Testing the causality of Hawkes processes with time reversal ⋮ The market nanostructure origin of asset price time reversal asymmetry ⋮ Early Warning Signals of Financial Stress: A “Wavelet-Based” Composite Indicators Approach

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