Equity clusters through the lens of realized semicorrelations

DOI10.1016/J.ECONLET.2021.110245zbMATH Open1484.91447OpenAlexW3214373751MaRDI QIDQ2126161FDOQ2126161

Authors: Tim Bollerslev, Andrew J. Patton, Haozhe Zhang 

Publication date: 14 April 2022

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110245

Recommendations

• Equity markets' clustering and the global financial crisis
• Dynamics of cluster structure in financial correlation matrix
• Asset-asset interactions and clustering in financial markets
• Dynamics of hierarchical clustering in stocks market during financial crises
• International stock comovements with endogenous clusters
• Common volatility and correlation clustering in asset returns

zbMATH Keywords

clusteringCOVID-19high-frequency datastock returnssemicorrelations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

• A survey of cross-validation procedures for model selection
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• A Tale of Two Time Scales
• Realized kernels in practise : trades and quotes
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
• Principal Component Analysis of High-Frequency Data
• Realized Semicovariances

Cited In (1)

• A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR

This page was built for publication: Equity clusters through the lens of realized semicorrelations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2126161)