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- W2422365087 abstract "Abstract Volatility is a key variable in the modeling of financial markets. The most striking feature of volatility is that it is a long-range correlated stochastic variable, i.e. its autocorrelation function decays like a power-law τ − β for large time lags. In the present work we investigate the determinants of such feature, starting from the empirical observation that the exponent β of a certain stock’s volatility is a linear function of the average correlation of such stock’s volatility with all other volatilities. We propose a simple approach consisting in diagonalizing the cross-correlation matrix of volatilities and investigating whether or not the diagonalized volatilities still keep some of the original volatility stylized facts. As a result, the diagonalized volatilities result to share with the original volatilities either the power-law decay of the probability density function and the power-law decay of the autocorrelation function. This would indicate that volatility clustering is already present in the diagonalized un-correlated volatilities. We therefore present a parsimonious univariate model based on a non-linear Langevin equation that well reproduces these two stylized facts of volatility. The model helps us in understanding that the main source of volatility clustering, once volatilities have been diagonalized, is that the economic forces driving volatility can be modeled in terms of a Smoluchowski potential with logarithmic tails." @default.
- W2422365087 created "2016-06-24" @default.
- W2422365087 creator A5046142243 @default.
- W2422365087 date "2016-11-01" @default.
- W2422365087 modified "2023-09-27" @default.
- W2422365087 title "Understanding the determinants of volatility clustering in terms of stationary Markovian processes" @default.
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- W2422365087 doi "https://doi.org/10.1016/j.physa.2016.06.081" @default.
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