volatility clustering. …

Volatility clustering is a well-known stylized feature of financial asset returns. In this paper, we investigate the … asymmetric pattern of volatility clustering on both the stock and foreign exchange rate markets. To this end, we employ copula … constructed from high frequency data, we find that volatility clustering is strongly asymmetric in the sense that clusters of …

Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important … stylized facts of financial time series. This paper presents a market microstructure model, that is able to generate volatility … clustering with hyperbolic autocorrelations through traders with multiple trading frequencies using Bayesian information updating …

evolution of the instantaneous correlations, of volatility clustering, of conditional heteroskedasticity and of persistency of …

Volatility clustering is a well-known stylized feature of financial asset returns. This paper investigates asymmetric … pattern in volatility clustering by employing a univariate copula approach of Chen and Fan (2006). Using daily realized kernel … asymmetry in volatility clustering is found to be more pronounced in the stock markets than in the foreign exchange markets …