A cluster driven log-volatility factor model : a deepening on the source of the volatility clustering
A. Verma, R.J. Buonocore and T. Di Matteo
| Year of publication: |
2019
|
|---|---|
| Authors: | Verma, Anshul ; Buonocore, R. J. ; Di Matteo, Tiziana |
| Subject: | Clustering | Dimensionality reduction | Econophysics | Empirical finance | Multi factor models | Volatility clustering | Volatilität | Volatility | Clusteranalyse | Cluster analysis | Regionales Cluster | Regional cluster | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Ökonophysik | ARCH-Modell | ARCH model | Theorie | Theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1535183 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194736