Volatility Co-Movement in Stock Markets

Volatility Co-Movement in Stock Markets

The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar functions in the physics of many-body systems, where the collective motions are a signal of structural rearrangement. This methodology is aimed to...

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Príomhchruthaitheoirí: López García, María Nieves, Sánchez Granero, Miguel Ángel, Trinidad Segovia, Juan Evangelista, Puertas López, Antonio Manuel, Nieves López, Francisco Javier de las
Formáid: info:eu-repo/semantics/article
Teanga:English
Foilsithe / Cruthaithe: MDPI 2021
Ábhair:
co-movement
volatility
econophysics
stock market
Rochtain ar líne:http://hdl.handle.net/10835/10250
https://doi.org/10.3390/math9060598

Ar líne

http://hdl.handle.net/10835/10250
https://doi.org/10.3390/math9060598

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