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Essay on Volatility Clusters and Time Series Prediction
2022 IEEE 11th International Conference on Intelligent Systems (IS), 2022Georgy Urumov, Panagiotis Chountas
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Structural Clustering of Volatility Regimes for Dynamic Trading Strategies
Applied Mathematical Finance, 2021Arjun Prakash +2 more
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Measuring multi‐volatility states of financial markets based on multifractal clustering model
Journal of Forecasting, 2022Xun Huang
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HAR-based realized volatility clustering
Financial time series are often clustered considering conditional volatility, estimated from GARCH models that rely on daily squared returns. Realized mea- sures provide, however, a better estimation of the volatility. Consequently, clustering approaches based on realized volatility should be preferred.Pierpaolo D’Urso +3 more
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Quantifying volatility clustering in financial time series
International Review of Financial Analysis, 2012Sai-Ping Li
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Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?
Physica A: Statistical Mechanics and Its Applications, 2008Sonia Bentes +2 more
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Stochastic volatility models with possible extremal clustering
Bernoulli, 2013Mohsen Rezapour, Thomas Mikosch
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A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering
Quantitative Finance, 2019exaly