Analyses on Volatility Clustering in Financial Time-Series Using Clustering Indices, Asymmetry, and Visibility Graph

Analyses on Volatility Clustering in Financial Time-Series Using Clustering Indices, Asymmetry, and Visibility Graph

The volatility clustering has critical implications in financial risk management. This paper aims to analyze the existence and cause of volatility clustering in financial time-series using different measures simultaneously. Specifically, we utilize the clustering indices, asymmetry measures, and the...

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Bibliographic Details
Main Authors: Kyungwon Kim, Jae Wook Song
Format: Article
Language:English
Published: IEEE 2020-01-01
Series:IEEE Access
Subjects:
Clustering asymmetry
clustering index
finance
pattern clustering
power-law decay
statistical analysis
Online Access:https://ieeexplore.ieee.org/document/9253630/

Internet

https://ieeexplore.ieee.org/document/9253630/

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