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Matei Demetrescu
 
''Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy?''
( 2007, Vol. 7 No.15 )
 
 
Clustering volatility is shown to appear in a simple market model with noise trading simply because agents use volatility forecasting models. At the core of the argument lies a feed-back mechanism linking past observed volatility to present observed volatility. Its stability properties are critical as to what kind of volatility will ultimately be observed.
 
 
Keywords:
JEL: G1 - General Financial Markets: General (includes Measurement and Data)
 
Manuscript Received : Sep 24 2007 Manuscript Accepted : Oct 17 2007

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