Analyses on Volatility Clustering in Financial Time-Series Using Clustering Indices, Asymmetry, and Visibility Graph
The volatility clustering has critical implications in financial risk management. This paper aims to analyze the existence and cause of volatility clustering in financial time-series using different measures simultaneously. Specifically, we utilize the clustering indices, asymmetry measures, and the...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
IEEE
2020-01-01
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| Series: | IEEE Access |
| Subjects: | |
| Online Access: | https://ieeexplore.ieee.org/document/9253630/ |