A GARCH-type model with cross-sectional volatility clusters

DOI10.1007/978-3-030-78965-7_25MaRDI QIDQ7231754zbMATH OpenFDO

Authors Pietro Coretto, Michele La Rocca, Giuseppe Storti

Publication date 22 April 2026

Full work available at URL https://doi.org/10.1007/978-3-030-78965-7_25

zbMATH Keywords

GARCH modelsmodel-based clusteringrealized volatilityrobust clustering

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Cites work

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• Finite mixture models
• scientific article; zbMATH DE number 194758 (Why is no real title available?)
• Large Dynamic Covariance Matrices
• Maximum likelihood estimation of heterogeneous mixtures of Gaussian and uniform distributions
• Model-Based Gaussian and Non-Gaussian Clustering
• Nuisance parameters, composite likelihoods and a panel of GARCH models
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Tests of Conditional Predictive Ability
• Time series clustering and classification by the autoregressive metric
• Volatility forecast comparison using imperfect volatility proxies

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