Common volatility and correlation clustering in asset returns

European Journal of Operational Research

Volumn 182, Issue 3, 2007, Pages 1263-1284

  Christodoulakis, George A ^a,b  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b BANK OF GREECE   (Greece)

Author keywords

Common volatility; Correlation; Persistence; Predictability; Time variation

Indexed keywords

CORRELATION METHODS; COVARIANCE MATRIX; MULTIVARIABLE SYSTEMS; OPTIMIZATION; REGRESSION ANALYSIS; TIME VARYING SYSTEMS;

COMMON VOLATILITY; PERSISTENCE; PREDICTABILITY; TIME VARIATION;

ASSET MANAGEMENT;

EID: 34248164442     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2006.09.088     Document Type: Article

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