A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering
Work
Year: 2018
Type: article
Abstract: We introduce a new factor model for log volatilities that considers contributions, and performs dimensionality reduction, at a global level through the market, and at a local level through clusters an... more
Source: Quantitative Finance
Cites: 65
Cited by: 22
Related to: 10
FWCI: 5.244
Citation percentile (by year/subfield): 100
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green