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A tail dependence-based dissimilarity measure for financial time series clustering

  • Giovanni De Luca

    ()

  • Paola Zuccolotto

    ()

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s11634-011-0098-3
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Article provided by Springer in its journal Advances in Data Analysis and Classification.

Volume (Year): 5 (2011)
Issue (Month): 4 (December)
Pages: 323-340

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Handle: RePEc:spr:advdac:v:5:y:2011:i:4:p:323-340
Contact details of provider: Web page: http://www.springer.com/statistics/statistical+theory+and+methods/journal/11634

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  1. Corduas, Marcella & Piccolo, Domenico, 2008. "Time series clustering and classification by the autoregressive metric," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1860-1872, January.
  2. Andrew Patton, 2004. "Modelling Asymmetric Exchange Rate Dependence," Working Papers wp04-04, Warwick Business School, Finance Group.
  3. E. Otranto, 2008. "Clustering Heteroskedastic Time Series by Model-Based Procedures," Working Paper CRENoS 200801, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  4. Pedro Galeano & Daniel Peña, 2001. "Multivariate Analysis In Vector Time Series," Statistics and Econometrics Working Papers ws012415, Universidad Carlos III, Departamento de Estadística y Econometría.
  5. Vilar, J.A. & Alonso, A.M. & Vilar, J.M., 2010. "Non-linear time series clustering based on non-parametric forecast densities," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2850-2865, November.
  6. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
  7. Taimur Baig & Ilan Goldfajn, 1998. "Financial Market Contagion in the Asian Crisis," IMF Working Papers 98/155, International Monetary Fund.
  8. 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.
  9. Fortin, Ines & Kuzmics, Christoph, 2002. "Tail-Dependence in Stock-Return Pairs," Economics Series 126, Institute for Advanced Studies.
  10. J. Kruskal, 1964. "Nonmetric multidimensional scaling: A numerical method," Psychometrika, Springer, vol. 29(2), pages 115-129, June.
  11. 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.
  12. 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.
  13. J. Kruskal, 1964. "Multidimensional scaling by optimizing goodness of fit to a nonmetric hypothesis," Psychometrika, Springer, vol. 29(1), pages 1-27, March.
  14. 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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