Abstract
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.
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Miccichè, S., Lillo, F., Bonanno, G., Mantegna, R.N. (2004). Univariate and multivariate statistical aspects of equity volatility. In: Takayasu, H. (eds) The Application of Econophysics. Springer, Tokyo. https://doi.org/10.1007/978-4-431-53947-6_4
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DOI: https://doi.org/10.1007/978-4-431-53947-6_4
Publisher Name: Springer, Tokyo
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