# 'Continuous' Time Random Walk in Continuous Time Random Walk.The crucial role of inter-event times in volatility clustering

@article{Klamut2019ContinuousTR, title={'Continuous' Time Random Walk in Continuous Time Random Walk.The crucial role of inter-event times in volatility clustering}, author={Jarosław Klamut and T. Gubiec}, journal={arXiv: Statistical Finance}, year={2019} }

We are introducing the new family of the Continuous Time Random Walks (CTRW) with long-term memory within consecutive waiting times. This memory is introduced to the model by the assumption that consecutive waiting times are the analog of CTRW themselves. This way, we obtain the 'Continuous' Time Random Walk in Continuous Time Random Walk. Surprisingly, this type of process, only with the long-term memory within waiting times, can successfully describe slowly decaying nonlinear autocorrelation… Expand

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