Search Results - subject:"volatility clusters"

A general framework for spatial GARCH models

Otto, Philipp; Schmid, Wolfgang - In: Statistical Papers 64 (2022) 5, pp. 1721-1747

) models are widely applied statistical tools for modelling volatility clusters (i.e., periods of increased or decreased risk …

Persistent link: https://www.econbiz.de/10015210606

A comparative analysis on probability of volatility clusters on cryptocurrencies, and FOREX currencies

Chinthapalli, Usha Rekha - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-23

the probability of cryptocurrency volatility clusters. In this regard, the paper explores exponential hybrid methodologies …

Persistent link: https://www.econbiz.de/10013200992

A comparative analysis on probability of volatility clusters on cryptocurrencies, and FOREX currencies

Chinthapalli, Usha Rekha - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-23

the probability of cryptocurrency volatility clusters. In this regard, the paper explores exponential hybrid methodologies …

Persistent link: https://www.econbiz.de/10012622787

News or Noise? Signal Extraction Can Generate Volatility Clusters From IID Shocks

Bidarkota, Prasad; McCulloch, J. Huston - Department of Economics, Florida International University - 2003

We develop a framework in which information about firm value is noisily observed. Investors are then faced with a signal extraction problem. Solving this would enable them to probabilistically infer the fundamental value of the firm and, hence, price its stocks. If the innovations driving the...

Persistent link: https://www.econbiz.de/10005417222

Signal Extraction can Generate Volatility Clusters

McCulloch, J. Huston; Bidarkota, Prasad V. - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005706789