Signal Extraction can Generate Volatility Clusters

J. Huston McCulloch and Prasad Bidarkota ()

No 59, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: volatility clusters; GARCH processes; signal extraction; heavy-tailed distributions (search for similar items in EconPapers)
JEL-codes: C22 C53 E31 (search for similar items in EconPapers)
Date: 2003-08-01
New Economics Papers: this item is included in nep-ets, nep-fin and nep-rmg
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