News-Driven Expectations and Volatility Clustering
Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and on various time scales: it is fat-tailed (more precisely power-law distributed) and it tends to be clustered in time. Many interesting models have been proposed to account for thes...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-01-01
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| Series: | Journal of Risk and Financial Management |
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| Online Access: | https://www.mdpi.com/1911-8074/13/1/17 |