Terra Cognita

Volatility fingerprints of large shocks: Endogeneous versus exogeneous

Licence unknown link only — licence forbids redistribution arxiv

D. Sornette (CNRS, Univ. Nice, UCLA), Y. Malevergne (Univ Nice, Lyon I), J.F. Muzy (CNRS, Univ. Corsica)

arXiv preprint (cond-mat.stat-mech, q-fin.ST).

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