Results 21 to 30 of about 681,470 (291)
Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters [PDF]
Journal of Risk and Financial Management, 2020 The inhomogeneity of the cross-sectional distribution of realized assets’ volatility is explored and used to build a novel class of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models. The inhomogeneity of the cross-sectional distribution of realized volatility is captured by a finite Gaussian mixture model plus a uniform component
Coretto, Pietro +2 more
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A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering [PDF]
Quantitative Finance, 2018 We introduce a new factor model for log volatilities that performs dimensionality reduction and considers contributions globally through the market, and locally through cluster structure and their interactions. We do not assume a-priori the number of clusters in the data, instead using the Directed Bubble Hierarchical Tree (DBHT) algorithm to fix the ...
Verma, Anshul +2 more
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Persistence, Excess Volatility, and Volatility Clusters in Inflation [PDF]
Review, 2001 This paper presents a single, integrated model to explain the persistence and volatility characteristics of the U.S. inflation time series. Policymaker learning about a Markov-switching natural rate of unemployment in a neoclassical Phillips curve model with time-varying preferences produces inflation persistence, volatility clustering, and mean ...
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Clustered volatility in multiagent dynamics
Journal of Economic Behavior & Organization, 1997 Large distributed multiagent systems are characterized by vast numbers of agents trying to gain access to limited resources in an unpredictable environment. Agents in these system continuously switch strategies in order to opportunistically find improvements in their utilities.
Youssefmir, Michael, Huberman, Bernardo
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Supply chain management based on volatility clustering: The effect of CBDC volatility [PDF]
, 2022 A Central Bank Digital Currency (CBDC) launched by the Bank of England could enable businesses to directly make electronic payments. It can be argued that digital payment is helpful in supply chain management applications.
Min Du +7 more
core +1 more source
Bank default indicators with volatility clustering
Annals of Finance, 2020 The authors estimate default measures for US banks using a model capable of handling volatility clustering, like those observed during the Global Financial Crisis. In order to account for the time variation in volatility, they adapted a GARCH option pricing model and calculated ``distance to default'' indicators that respond to heightened market ...
Turalay Kenc +2 more
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Book Building vs Fixed Price Revisited: The Case of Indonesia
Riset Akuntansi dan Keuangan Indonesia, 2022 We revisited the evidence on how IPO methods affect return (opening, close and initial return) and why does return affects the volatility in Indonesia.
Tri Utami +2 more
doaj +1 more source
Bifurcation routes to volatility clustering [PDF]
, 2000 Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
Gaunersdorfer, Andrea +2 more
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Equity market volatility behavior in Sri Lankan context
Kelaniya Journal of Management, 2016 Colombo Stock Exchange (CSE) in Sri Lanka is at its first level of emerging markets. Volatility of emerging markets are considered to be high and characterized by complex features.
P. S. Morawakage, P. D. Nimal
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Integrating Volatility Clustering Into Exponential Lévy Models [PDF]
Journal of Applied Probability, 2009 We introduce a class of stock models that interpolates between exponential Lévy models based on Brownian subordination and certain stochastic volatility models with Lévy-driven volatility, such as the Barndorff-Nielsen–Shephard model. The driving process in our model is a Brownian motion subordinated to a business time which is obtained by convolution ...
Bender, Christian, Marquardt, Tina
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