Concepedia

Stochastic model of financial markets reproducing scaling and memory in volatility return intervals

Vygintas Gontis, Shlomo Havlin, Aleksejus Kononovičius, Boris Podobnik, H. Eugene Stanley

Physica A Statistical Mechanics and its Applications · 2016 · 30 citations · 55 references

DOIFull text

Open access

Concepts

References

55

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

, , +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

, , +15

<i>An Introduction to Econophysics: Correlations and Complexity in Finance</i>

Rosario N. Mantegna, H. Eugene Stanley, Neil Chriss · Physics Today · 2000 · 2.3K citations · Full text

, , +17

Modelling the persistence of conditional variances

Robert F. Engle, Tim Bollerslev · Econometric Reviews · 1986 · 2.1K citations

, , +15

Long memory processes and fractional integration in econometrics

Richard T. Baillie · Journal of Econometrics · 1996 · 1.9K citations

, , +14