Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5090021 | Journal of Banking & Finance | 2012 | 14 Pages |
Abstract
⺠We provide a framework for generating volatility clustering of returns with autocorrelations of hyperbolic decay. ⺠Volatility clustering is generated due to the combined effects of rational traders with multiple trading frequencies and their strategic interactions. ⺠Signal extraction increases the persistence of the volatility of returns. ⺠Volatility of the underlying time series of returns varies greatly with the number of traders in the market.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yi Xue, Ramazan Gençay,