On classifying the effects of policy announcements on volatility

DOI10.1016/J.IJAR.2021.04.001MaRDI QIDQ2237181zbMATH OpenOpenAlexFDO

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, https://crenos.unica.it/crenos/sites/default/files/wp-20-08.pdf

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)

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A multiple indicators model for volatility using intra-daily data
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• Clustering heteroskedastic time series by model-based procedures
• Clustering of time series data -- a survey
• Dynamic linear models with Markov-switching
• Financial clustering in presence of dominant markets
• GARCH-based robust clustering of time series
• Generalized autoregressive conditional heteroscedasticity
• Geometric equivalence of groups.
• Maximum Likelihood Estimation of Misspecified Models
• Maximum likelihood estimation of the Markov-switching GARCH model
• Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
• Selecting nonlinear time series models using information criteria
• The Distribution of Realized Exchange Rate Volatility
• The Model Confidence Set
• Time series clustering and classification

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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