Common volatility and correlation clustering in asset returns
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Publication:884052
DOI10.1016/J.EJOR.2006.09.088zbMATH Open1278.91186OpenAlexW1995937524MaRDI QIDQ884052FDOQ884052
Publication date: 13 June 2007
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2006.09.088
Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
Cites Work
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- The Distribution of Realized Exchange Rate Volatility
- Stationarity of GARCH processes and of some nonnegative time series
- Volatility and Links between National Stock Markets
- Autoregressive Conditional Density Estimation
- Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Prediction in dynamic models with time-dependent conditional variances
Cited In (7)
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- Equity clusters through the lens of realized semicorrelations
- Dynamic correlation multivariate stochastic volatility with latent factors
- Modeling and forecasting exchange rate volatility in time-frequency domain
- Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
- A dynamic latent-space model for asset clustering
- Forecasting the volatility of crude oil futures using intraday data
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