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The riddle of volatility clusters
Business: Theory and Practice, 2014 In this financial engineering research we evaluate if observed non normalities in the market price distributions are caused mainly by a volatility clustering or also by another nonclustering mechanism.
Bohumil Stádník
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Trading frequency and volatility clustering [PDF]
Journal of Banking & Finance, 2012 Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series.
Xue, Yi +3 more
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Volatility clustering in land markets [PDF]
Property Management, 2014 Purpose – The purpose of this paper is to investigate the volatility clustering in the return of land markets through both theoretical and empirical approaches.
Bao, Helen Xiaohui +3 more
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Detecting Contagion with Correlation: Volatility and Timing Matter [PDF]
, 2010 We examine whether contagion tests are affected by controls for volatility clustering and the collection of synchronized data sets. Without controlling for volatility clustering synchronization does not apparently matter.
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Clustering stock price volatility using intuitionistic fuzzy sets [PDF]
, 2022 Clustering involves gathering a collection of objects into homogeneous groups or clusters, such that objects in the same cluster are more similar when compared to objects present in other groups.
Chountas, P., Urumov, G.
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Clustering of volatility as a multiscale phenomenon [PDF]
The European Physical Journal B, 1999 6 pages, RevTeX, 6 eps figures, submitted to Econometrica, added ...
Pasquini M, SERVA, Maurizio
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Volatility Clustering: A Nonlinear Theoretical Approach [PDF]
SSRN Electronic Journal, 2015 This paper verifies the endogenous mechanism and economic intuition on volatility clustering using the coexistence of two locally stable attractors proposed by Gaunersdorfer, Hommes and Wagener (2008). By considering a simple asset pricing model with two types of boundedly rational traders, fundamentalists and trend followers, and noise traders, we ...
Xue-Zhong He, Kai Li, Chuncheng Wang
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Is volatility clustering of asset returns asymmetric? [PDF]
Journal of Banking & Finance, 2015 Abstract Volatility clustering is a well-known stylized feature of financial asset returns. This paper investigates asymmetric pattern in volatility clustering by employing a univariate copula approach of Chen and Fan (2006). Using daily realized kernel volatilities constructed from high frequency data from stock and foreign exchange markets, we find
Cathy Ning, Dinghai Xu, Tony Wirjanto
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Volatility cluster and herding [PDF]
Physica A: Statistical Mechanics and its Applications, 2003 Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow decay of their time correlations. For an explanation models with several mechanisms and consequently many parameters as the Lux-Marchesi model have been used.
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A Nonlinear Structural Model for Volatility Clustering [PDF]
SSRN Electronic Journal, 2000 A simple nonlinear structural model of endogenous belief heterogeneity is proposed. News about fundamentals is an IID random process, but nevertheless volatility clustering occurs as an endogenous phenomenon caused by the interaction between different types of traders, fundamentalists and technical analysts.
Gaunersdorfer, A., Hommes, C.H.
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