Volatility clustering is a well-known effect in equity markets. In simple meaning, volatility clustering refers to a … tested two hypotheses: (1) firstly, if there is a volatility clustering present in equity factor strategies, (2) secondly …, whether past factor volatility predicts future factor performance. We were able to confirm the first hypothesis. However, a …

In this paper, we introduce a volatility-based method for clustering analysis of financial time series. Using the … volatilities. The proposed method uses the volatility behavior of the time series and solves the problem of different lengths. As …

Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and …

Estimation of a nonparametric regression spectrum based on the periodogram is considered. Neither trend estimation nor … smoothing of the periodogram are required. Alternatively, for cases where spectral estimation of phase shifts fails and the …

This work considers the application of Periodogram and Fourier Series Analysis to model all-items monthly inflation … obtained from the Central Bank of Nigeria (CBN) website. Periodogram and Fourier series methods of analysis are used to analyze …

addition to time series tools. A periodogram-based test has pros over conventional tests; this test is model-free, seasonally …'s conventional long-run time series tools as well as periodogram based test, suggest that services and goods sector inflations in …

In this paper, the sub-cycles in two economic activity measures are analyzed by using periodogram analyses. Our results …