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
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|---|---|
| Authors: | Verma, Anshul ; Buonocore, R. J. ; Di Matteo, Tiziana |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 6, p. 981-996
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| Subject: | Clustering | Dimensionality reduction | Econophysics | Empirical finance | Multi factor models | Volatility clustering | Volatilität | Volatility | Regionales Cluster | Regional cluster | Clusteranalyse | Cluster analysis | Faktorenanalyse | Factor analysis | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Ökonophysik |
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