A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering-Reference-Cited by-同舟云学术

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A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering

Published:2018-11-14 Issue:6 Volume:19 Page:981-996
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Verma A.¹,Buonocore R. J.¹,Di Matteo T.¹²³

Affiliation:

1. Department of Mathematics, King's College London, The Strand, London, WC2R 2LS, UK

2. Department of Computer Science, University College London, Gower Street, London, WC1E 6BT, UK

3. Complexity Science Hub Vienna, Josefstaedter Strasse 39, A 1080 Vienna, Austria

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1535183

Reference58 articles.

1. Principal Component Models for Generating Large GARCH Covariance Matrices

2. Modeling and Forecasting Realized Volatility

3. X-CAPM: An extrapolative capital asset pricing model

4. Multivariate GARCH models: a survey

5. Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode

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