Volatility clustering in the presence of time-varying model parameters

DOI10.1080/02664763.2012.759191OpenAlexW2071134057MaRDI QIDQ5128972FDOQ5128972

Authors: Edoardo Otranto 

Publication date: 26 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2012.759191

Recommendations

• Clustering heteroskedastic time series by model-based procedures
• Varying Coefficient GARCH Models
• Forecasting volatility with time-varying coefficient regressions
• Financial clustering in presence of dominant markets
• Time-varying parameter realized volatility models

zbMATH Keywords

clusteringMarkov switchingsmooth transitiontime-varying parametersunconditional volatility

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Clustering heteroskedastic time series by model-based procedures
• Title not available (Why is that?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Clustering of time series data -- a survey
• A multiple indicators model for volatility using intra-daily data
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Clustering financial time series: an application to mutual funds style analysis
• Analysis of time series subject to changes in regime
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• Non‐linear GARCH models for highly persistent volatility
• A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
• QUADRATIC ASSIGNMENT AS A GENERAL DATA ANALYSIS STRATEGY
• Identifying financial time series with similar dynamic conditional correlation

Cited In (5)

• Understanding the determinants of volatility clustering in terms of stationary Markovian processes
• On classifying the effects of policy announcements on volatility
• Financial clustering in presence of dominant markets
• Structural clustering of volatility regimes for dynamic trading strategies
• MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING

This page was built for publication: Volatility clustering in the presence of time-varying model parameters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5128972)