Paul Lynch

The University of Manchester - School of Electrical & Electronic Engineering

United Kingdom

SCHOLARLY PAPERS

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Scholarly Papers (1)

Heterogeneous Volatility Cascade in Financial Markets

Olsen & Associates Working Paper No. GOZ.2000-11-06
Number of pages: 10 Posted: 03 Jun 2001
Gilles O. Zumbach and Paul Lynch
Edgelab and The University of Manchester - School of Electrical & Electronic Engineering
Downloads 346 (161,612)
Citation 5

Abstract:

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Econophysics, volatility cascade, market components, ARCH model, turbulence

Heterogeneous Volatility Cascade in Financial Markets

Posted: 17 Sep 2001
Gilles O. Zumbach and Paul Lynch
Edgelab and The University of Manchester - School of Electrical & Electronic Engineering

Abstract:

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Econophysics, Volatility cascade, Market components, ARCH model, Turbulence