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...
| Main Authors: | , , , , |
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| פורמט: | info:eu-repo/semantics/article |
| שפה: | English |
| יצא לאור: |
MDPI
2021
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| נושאים: | |
| גישה מקוונת: | http://hdl.handle.net/10835/10250 https://doi.org/10.3390/math9060598 |