Common volatility and correlation clustering in asset returns

DOI10.1016/J.EJOR.2006.09.088zbMath1278.91186OpenAlexW1995937524MaRDI QIDQ884052

George A. Christodoulakis

Publication date: 13 June 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2006.09.088

zbMATH Keywords

correlationpersistencetime variationpredictabilitycommon volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (4)

Modeling and forecasting exchange rate volatility in time-frequency domain ⋮ Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ Dynamic correlation multivariate stochastic volatility with latent factors ⋮ Forecasting the volatility of crude oil futures using intraday data

Uses Software

• RiskMetrics

Cites Work

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• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Volatility and Links between National Stock Markets
• Autoregressive Conditional Density Estimation
• The Distribution of Realized Exchange Rate Volatility

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