English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Tools annual

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Presents the access of premium content as premium feature

Premium Content

Global: Zendy Plus annual

Global: Zendy Free Plan

We consider a mean-reverting stochastic volatility model which satisfies somerelevant stylized facts of financial markets. We introduce an algorithm for thedetection of peaks in the volatility profile, that we apply to the time seriesof Dow Jones Industrial Average and Financial Times Stock Exchange 100 in theperiod 1984-2013. Based on empirical results, we propose a bivariate version ofthe model, for which we find an explicit expression for the decay over time ofcross-asset correlations between absolute returns. We compare our theoreticalpredictions with empirical estimates on the same financial time series, findingan excellent agreement.

A multivariate model for financial indices and an algorithm for detection of jumps in the volatility