Volatility clustering (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Volatility clustering" in English language version.

refsWebsite

Global rank English rank

2^nd place

26^th place

20^th place

doi.org

Ding, Z., Granger, C.W.J. Modeling volatility persistence of speculative returns: A new approach, Journal of Econometrics), 1996, vol. 73, issue 1, 185-215
Cont, Rama (2007). "Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models". In Teyssière, Gilles; Kirman, Alan (eds.). Long Memory in Economics. Springer. pp. 289–309. doi:10.1007/978-3-540-34625-8_10.
Zhuanxin Ding, Clive W.J. Granger, Robert F. Engle (1993) A long memory property of stock market returns and a new model, Journal of Empirical Finance, Volume 1, Issue 1, 1993, Pages 83-106
Ole E. Barndorff-Nielsen, Neil Shephard (October 2010). "Volatility". In Cont, Rama (ed.). Encyclopedia of Quantitative Finance. Wiley. doi:10.1002/9780470061602.eqf19019. ISBN 9780470057568.

Mandelbrot, B. B., The Variation of Certain Speculative Prices, The Journal of Business 36, No. 4, (1963), 394-419
Granger, C.W. J., Ding, Z. Some Properties of Absolute Return: An Alternative Measure of Risk , Annales d'Économie et de Statistique, No. 40 (Oct. - Dec., 1995), pp. 67-91