Structural attribution of observed volatility clustering

Journal of Econometrics

Volumn 135, Issue 1-2, 2006, Pages 15-29

  Granger, Clive W J ^a   Machina, Mark J ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

ARCH; Induced volatility clustering; Stochastic volatility; Structural attribution; Volatility clustering

Indexed keywords

COMPUTER SIMULATION; DATABASE SYSTEMS; FORECASTING; MATHEMATICAL MODELS; STOCHASTIC PROGRAMMING; TIME SERIES ANALYSIS;

ARCH; INDUCED VOLATILITY CLUSTERING; STOCHASTIC VOLATILITY; STRUCTURAL ATTRIBUTION; VOLATILITY CLUSTERING;

NONLINEAR PROGRAMMING;

EID: 33747886252     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.07.016     Document Type: Article

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