A tail dependence-based dissimilarity measure for financial time series clustering
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Volume (Year): 5 (2011)
Issue (Month): 4 (December)
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References listed on IDEAS
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- W. Breymann & A. Dias & P. Embrechts, 2003. "Dependence structures for multivariate high-frequency data in finance," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 1-14.
- Fortin, Ines & Kuzmics, Christoph, 2002. "Tail-Dependence in Stock-Return Pairs," Economics Series 126, Institute for Advanced Studies.
- J. Kruskal, 1964. "Nonmetric multidimensional scaling: A numerical method," Psychometrika, Springer, vol. 29(2), pages 115-129, June.
- Caiado, Jorge & Crato, Nuno & Pena, Daniel, 2006. "A periodogram-based metric for time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2668-2684, June.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- J. Kruskal, 1964. "Multidimensional scaling by optimizing goodness of fit to a nonmetric hypothesis," Psychometrika, Springer, vol. 29(1), pages 1-27, March.
- Pattarin, Francesco & Paterlini, Sandra & Minerva, Tommaso, 2004. "Clustering financial time series: an application to mutual funds style analysis," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 353-372, September.
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