On classifying the effects of policy announcements on volatility

DOI10.1016/J.IJAR.2021.04.001OpenAlexW3154842670MaRDI QIDQ2237181FDOQ2237181

Authors: Giampiero M. Gallo, Demetrio Lacava, Edoardo Otranto 

Publication date: 27 October 2021

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.14094

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zbMATH Keywords

model-based clusteringstock market volatilityMarkov switching modelmultiplicative error modelsmoothed probabilitiesunconventional monetary policies

Mathematics Subject Classification ID

Reasoning under uncertainty in the context of artificial intelligence (68T37)

Cites Work

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• Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
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• Capturing the spillover effect with multiplicative error models

Cited In (3)

• Cophenetic-based fuzzy clustering of time series by linear dependency
• Time series clustering and classification
• Volatility prediction based on scheduled macroeconomic announcements

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