Univariate and multivariate statistical aspects of equity volatility

Research output: Contribution to conferenceOtherpeer-review


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.
Original languageEnglish
Number of pages13
Publication statusPublished - 2004


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