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Nonparametric test for volatility in clustered multiple time series

Barrios, Erniel B.; Redondo, Paolo Victor T. - In: Computational economics 63 (2024) 2, pp. 861-876

Persistent link: https://www.econbiz.de/10014475068

Portfolio optimization using cellwise robust association measures and clustering methods with application to highly volatile markets

Menvouta, Emmanuel Jordy; Serneels, Sven; Verdonck, Tim - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-13

This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of downside risk measures, hierarchical clustering and cellwise robustness. Using cellwise robust association measures, the minCluster portfolio is able to retrieve the underlying...

Persistent link: https://www.econbiz.de/10014514018

Clustering analysis on Hurst dynamic

Di Sciorio, Fabrizio - In: Estudios de economía aplicada : revista promovida por … 42 (2024) 1, pp. 99-110

Persistent link: https://www.econbiz.de/10014514973

Supply chain management based on volatility clustering : the effect of CBDC volatility

Ding, Shusheng; Cui, Tianxiang; Wu, Xiangling; Du, Min - In: Research in international business and finance 62 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10014247254

Structural clustering of volatility regimes for dynamic trading strategies

Prakash, Arjun; James, Nick; Menzies, Max; Francis, Gilad - In: Applied mathematical finance 28 (2021) 3, pp. 236-274

Persistent link: https://www.econbiz.de/10013171071

Exchange rate uncertainty and cereals exports : a panel VAR approach

Miranda Lescano, Ronald; Muinelo Gallo, Leonel - In: Revista de economía mundial : REM ; revista de la … 59 (2021), pp. 191-219

Persistent link: https://www.econbiz.de/10013188252

Measuring multi-volatility states of financial markets based on multifractal clustering model

Huang, Xun; Tang, Huiyue - In: Journal of forecasting 41 (2022) 3, pp. 422-434

Persistent link: https://www.econbiz.de/10013166151

An Analysis of Volatility Clustering of Equity Factor Strategies

Vojtko, Radovan; Cisár, Dominik - 2021

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 …

Persistent link: https://www.econbiz.de/10014088883

Social interaction, volatility clustering, and momentum

He, Xue-zhong; Li, Kai; Santi, Caterina; Shi, Lei - In: Journal of economic behavior & organization : JEBO 203 (2022), pp. 125-149

Persistent link: https://www.econbiz.de/10014227916

On identifying the core of EMU : an exploration of some empirical criteria

Artis, Michael J. - 1997

Persistent link: https://www.econbiz.de/10013422352