Structural clustering of volatility regimes for dynamic trading strategies
Arjun Prakash, Nick James, Max Menzies and Gilad Francis
| Year of publication: |
2021
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|---|---|
| Authors: | Prakash, Arjun ; James, Nick ; Menzies, Max ; Francis, Gilad |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 28.2021, 3, p. 236-274
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| Subject: | change point detection | regime-switching model | spectral clustering | trading strategies | Volatility modelling | Volatilität | Volatility | Markov-Kette | Markov chain | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Regionales Cluster | Regional cluster | Wertpapierhandel | Securities trading | Schätzung | Estimation | Clusteranalyse | Cluster analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2021.2007146 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013171071