A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering

DOI10.1080/14697688.2018.1535183zbMath1428.62466arXiv1712.02138OpenAlexW2964149017WikidataQ105593112 ScholiaQ105593112MaRDI QIDQ5234327

Anshul Verma, R. J. Buonocore, Tiziana Di Matteo

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.02138

zbMATH Keywords

clusteringdimensionality reductioneconophysicsvolatility clusteringempirical financemulti factor models

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

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Uses Software

• covTest

Cites Work

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