In this work we investigate the presence of ‘group’ structures in financial markets. We show how this information can be used to simplify the volatility modelling of large portfolios. Our testing dataset is composed by all the stocks listed on the S&P500 index.
Group Structured Volatility
CORETTO, Pietro;LA ROCCA, Michele;STORTI, Giuseppe
2011-01-01
Abstract
In this work we investigate the presence of ‘group’ structures in financial markets. We show how this information can be used to simplify the volatility modelling of large portfolios. Our testing dataset is composed by all the stocks listed on the S&P500 index.File in questo prodotto:
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