6533b7d6fe1ef96bd1267149

RESEARCH PRODUCT

Univariate and multivariate statistical aspects of equity volatility

Salvatore MiccichèGiovanni BonannoFabrizio LilloRosario N. Mantegna

subject

Stochastic volatilityFinancial models with long-tailed distributions and volatility clusteringVolatility smileUnivariateEconometricsForward volatilityEconomicsVolatility (finance)Implied volatilitySettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)volatility financial markets econophysics log range correlated processes stochastic processesHeston model

description

We discuss univariate and multivariate statistical properties of volatility time series of equities traded in a financial market. Specifically, (i) we introduce a two-region stochastic volatility model able to well describe the unconditional pdf of volatility in a wide range of values and (ii) we quantify the stability of the results of a correlation-based clustering procedure applied to synchronous time evolution of a set of volatility time series.

yearjournalcountryeditionlanguage
2004-01-01
https://doi.org/10.1007/978-4-431-53947-6_4