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q-fin.ST2015★ 17 cited
Dynamic Multi-Factor Clustering of Financial Networks
Gordon J. Ross
We investigate the tendency for financial instruments to form clusters when there are multiple factors influencing the correlation structure. Specifically, we consider a stock port…
q-fin.ST2012★ 47 cited
Modeling Financial Volatility in the Presence of Abrupt Changes
Gordon J. Ross
The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one…