Common volatility and correlation clustering in asset returns
type: Item
instance of: scholarly article
title: Common volatility and correlation clustering in asset returns
zbMATH Open document ID: 1278.91186
author: George A. Christodoulakis
published in: European Journal of Operational Research
publication date: 2007-06-13T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 5163885
zbMATH Keywords: correlation
zbMATH Keywords: common volatility
zbMATH Keywords: persistence
zbMATH Keywords: predictability
zbMATH Keywords: time variation
describes a project that uses: RiskMetrics
MaRDI profile type: Publication
full work available at URL: j.ejor.2006.09.088
OpenAlex ID: W1995937524
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DOI: 10.1016/J.EJOR.2006.09.088
description: scientific article; zbMATH DE number 5163885