Volatility clustering in the presence of time-varying model parameters

DOI10.1080/02664763.2012.759191MaRDI QIDQ5128972zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

clusteringMarkov switchingsmooth transitiontime-varying parametersunconditional volatility

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 3942813 (Why is no real title available?)
• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
• A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
• A multiple indicators model for volatility using intra-daily data
• Analysis of time series subject to changes in regime
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Clustering financial time series: an application to mutual funds style analysis
• Clustering heteroskedastic time series by model-based procedures
• Clustering of time series data -- a survey
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Generalized autoregressive conditional heteroscedasticity
• Identifying financial time series with similar dynamic conditional correlation
• Non‐linear GARCH models for highly persistent volatility
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
• QUADRATIC ASSIGNMENT AS A GENERAL DATA ANALYSIS STRATEGY

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

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