About this document
Finance & Insurance: Risk Drivers Explained by Valerio Zarrelli is a document available to read on EtoBox.
This document discusses three main empirical phenomena observed in financial risk drivers: 1) mean reversion, which shows fast decaying autocorrelations and is addressed using ARMA models; 2) long memory or slow decaying autocorrelations, relevant for high frequency trading and modeled with fractional integration; 3) volatility clustering, where volatility displays autocorrelation and is modeled with GARCH for same invariants or stochastic volatility for different invariants.
- Author
- Valerio Zarrelli
- Language
- EN