53 citations · 273 across the 11 of their papers we have counts for
Showing 2012 · q-fin.STShow all
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q-fin.ST2012★ 51 cited
The fine-structure of volatility feedback I: multi-scale self-reflexivity
Rémy Chicheportiche, Jean-Philippe Bouchaud
We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can b…
q-fin.ST2012★ 14 cited
Study of statistical correlations in intraday and daily financial return time series
Gayatri Tilak, Tamas Szell, Remy Chicheportiche +1
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using th…