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28:(1963), that "large changes tend to be followed by large changes, of either sign, and small changes tend to be followed by small changes." A quantitative manifestation of this fact is that, while returns themselves are uncorrelated, absolute returns
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Cont, Rama (2007). "Volatility
Clustering in Financial Markets: Empirical Facts and Agent-Based Models". In Teyssière, Gilles; Kirman, Alan (eds.).
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