Equity clusters through the lens of realized semicorrelations

DOI10.1016/j.econlet.2021.110245zbMath1484.91447OpenAlexW3214373751MaRDI QIDQ2126161

Tim Bollerslev, Haozhe Zhang, Andrew J. Patton

Publication date: 14 April 2022

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110245

zbMATH Keywords

clusteringstock returnshigh-frequency dataCOVID-19semicorrelations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Related Items (1)

A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR

Cites Work

• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
• A survey of cross-validation procedures for model selection
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Realized kernels in practice: trades and quotes
• Realized Semicovariances
• Principal Component Analysis of High-Frequency Data
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• A Tale of Two Time Scales

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