Equity clusters through the lens of realized semicorrelations

DOI10.1016/J.ECONLET.2021.110245MaRDI QIDQ2126161zbMATHOpenAlexFDO

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

zbMATH Keywords

clusteringCOVID-19high-frequency datastock returnssemicorrelations

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(1)

• A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR

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