Structural attribution of observed volatility clustering

DOI10.1016/J.JECONOM.2005.07.016MaRDI QIDQ291841zbMATH OpenOpenAlexFDO

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

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)

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

Cited in

(4)

• Aggregation, Persistence and Volatility in a Macro Model
• Understanding the determinants of volatility clustering in terms of stationary Markovian processes
• On the concept of endogenous volatility
• A nonlinear structural model for volatility clustering

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