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Common volatility and correlation clustering in asset returns · Study

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ArticleCommon volatility and correlation clustering in asset returns

George A. Christodoulakis2007

Article2007

Common volatility and correlation clustering in asset returns

George A. Christodoulakis

26 citations·0/0 files stored·European Journal of Operational Research

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1993Measuring and Testing the Impact of News on Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2001The Distribution of Realized Exchange Rate Volatility 1990Correlations in Price Changes and Volatility across International Stock Markets

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Year2007

Typearticle

Published2007-01-27

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations26

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ejor.2006.09.088

openalex_workW1995937524

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