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...
| 主要な著者: | , , , , |
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| フォーマット: | info:eu-repo/semantics/article |
| 言語: | English |
| 出版事項: |
MDPI
2021
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| 主題: | |
| オンライン･アクセス: | http://hdl.handle.net/10835/10250 https://doi.org/10.3390/math9060598 |