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A nested factor model for non-linear dependencies in stock returns

Author

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  • Rémy Chicheportiche

    (FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec)

  • J-P Bouchaud

    (SPEC - UMR3680 - Service de physique de l'état condensé - IRAMIS - Institut Rayonnement Matière de Saclay (DRF) - CEA - Commissariat à l'énergie atomique et aux énergies alternatives - Université Paris-Saclay - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique)

Abstract

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Suggested Citation

  • Rémy Chicheportiche & J-P Bouchaud, 2015. "A nested factor model for non-linear dependencies in stock returns," Post-Print hal-01339978, HAL.
    • Handle: RePEc:hal:journl:hal-01339978
    DOI: 10.1080/14697688.2014.994668
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    Cited by:

    1. Jean-Philippe Bouchaud, 2021. "Radical Complexity," Papers 2103.09692, arXiv.org.
    2. Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
    3. Joel Bun & Jean-Philippe Bouchaud & Marc Potters, 2016. "Cleaning large correlation matrices: tools from random matrix theory," Papers 1610.08104, arXiv.org.
    4. Boris David & Gilles Zumbach, 2022. "Multivariate backtests and copulas for risk evaluation," Papers 2206.03896, arXiv.org, revised Nov 2023.
    5. Anshul Verma & Riccardo Junior Buonocore & Tiziana di Matteo, 2017. "A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering," Papers 1712.02138, arXiv.org, revised May 2018.

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