Structural Clustering of Volatility Regimes for Dynamic Trading Strategies-Reference-Cited by-同舟云学术

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Structural Clustering of Volatility Regimes for Dynamic Trading Strategies

Published:2021-05-04 Issue:3 Volume:28 Page:236-274
ISSN:1350-486X
Container-title:Applied Mathematical Finance
language:en
Short-container-title:Applied Mathematical Finance

Author:

Prakash Arjun¹^ORCID,James Nick²^ORCID,Menzies Max³^ORCID,Francis Gilad⁴^ORCID

Affiliation:

1. School of Computer Science, University of Sydney, Sydney, Australia

2. School of Mathematics and Statistics, University of Melbourne, Melbourne, Australia

3. Beijing Institute of Mathematical Sciences and Applications, Tsinghua University, Beijing, China

4. School of Mathematics and Statistics, University of Sydney, Sydney, Australia

Publisher

Informa UK Limited

Subject

Applied Mathematics,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2021.2007146

Reference54 articles.

1. Regime Changes and Financial Markets

2. Economic policy uncertainty and stock markets: Long-run evidence from the US

3. Predicting regime switches in the VIX index with macroeconomic variables

4. The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model

5. Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach

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