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Clustering of volatility as a multiscale phenomenon. (2000). Serva, M. ; Pasquini, M..
In: The European Physical Journal B: Condensed Matter and Complex Systems.
RePEc:spr:eurphb:v:16:y:2000:i:1:p:195-201.

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  1. A micro-to-macro approach to returns, volumes and waiting times. (2020). Petroni, Filippo ; D'Amico, Guglielmo.
    In: Papers.
    RePEc:arx:papers:2007.06262.

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  2. Observability of market daily volatility. (2016). Serva, Maurizio ; Petroni, Filippo.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:444:y:2016:i:c:p:838-842.

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  3. Observability of Market Daily Volatility. (2015). Petroni, Filippo ; Serva, Maurizio .
    In: Papers.
    RePEc:arx:papers:1503.08032.

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  4. Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective. (2013). Fei, Fangyu ; Tang, Zhenpeng ; Lin, Xiaoqiang .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:18:p:4064-4074.

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  5. Allan deviation analysis of financial return series. (2012). Hernandez-Perez, R..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:9:p:2883-2888.

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  6. Finite-size effect and the components of multifractality in financial volatility. (2012). Zhou, Wei-Xing.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:45:y:2012:i:2:p:147-155.

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  7. Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons. (2009). Subbotin, Alexandre .
    In: Applied Econometrics.
    RePEc:ris:apltrx:0113.

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  8. Volatility Models : from GARCH to Multi-Horizon Cascades. (2009). Subbotin, Alexander ; Chauveau, Thierry ; Shapovalova, Kateryna .
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00390636.

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  9. Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index. (2008). Mu, Guo-Hua ; Zhou, Wei-Xing.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:21:p:5211-5218.

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  10. Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model. (2006). Masoliver, Jaume ; Perello, Josep.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:6:y:2006:i:5:p:423-433.

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  11. Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries. (2006). Uning, Rosemary ; Muniandy, Sithi V..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:371:y:2006:i:2:p:585-598.

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  12. Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets. (2006). Sornette, Didier ; Zhou, Wei-Xing.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:370:y:2006:i:2:p:704-726.

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  13. Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets. (2005). Sornette, Didier ; Zhou, Wei-Xing.
    In: Papers.
    RePEc:arx:papers:cond-mat/0503607.

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