Structural attribution of observed volatility clustering

DOI10.1016/J.JECONOM.2005.07.016zbMath1418.62456OpenAlexW2009850097MaRDI QIDQ291841

Clive W. J. Granger, Machina, Mark J.

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.07.016

zbMATH Keywords

stochastic volatilityARCHinduced volatility clusteringstructural attributionvolatility clustering

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Heterogeneous beliefs, wealth accumulation, and asset price dynamics
• Some Tests of Dynamic Specification for a Single Equation
• INFORMATION DYNAMICS IN FINANCIAL MARKETS

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