Search results for " log range correlated processes"

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Univariate and multivariate statistical aspects of equity volatility

2004

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.

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
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