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Book reviews

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  • Ricardo Maronna
  • Christian Kleiber
  • Olaf Schoffer

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  • Ricardo Maronna & Christian Kleiber & Olaf Schoffer, 2005. "Book reviews," Statistical Papers, Springer, vol. 46(2), pages 313-317, April.
  • Handle: RePEc:spr:stpapr:v:46:y:2005:i:2:p:313-317 DOI: 10.1007/BF02762976
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    References listed on IDEAS

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    1. Tola, Vincenzo & Lillo, Fabrizio & Gallegati, Mauro & Mantegna, Rosario N., 2008. "Cluster analysis for portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 235-258, January.
    2. R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
    3. Lawrence Hubert & Phipps Arabie, 1985. "Comparing partitions," Journal of Classification, Springer;The Classification Society, vol. 2(1), pages 193-218, December.
    4. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
    5. Giovanni De Luca & Paola Zuccolotto, 2011. "A tail dependence-based dissimilarity measure for financial time series clustering," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 5(4), pages 323-340, December.
    6. J. Kruskal, 1964. "Nonmetric multidimensional scaling: A numerical method," Psychometrika, Springer;The Psychometric Society, pages 115-129.
    7. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
    8. G. Bonanno & G. Caldarelli & F. Lillo & S. Micciché & N. Vandewalle & R. Mantegna, 2004. "Networks of equities in financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 38(2), pages 363-371, March.
    9. Roger Shepard, 1962. "The analysis of proximities: Multidimensional scaling with an unknown distance function. I," Psychometrika, Springer;The Psychometric Society, pages 125-140.
    10. Hering, Christian & Hofert, Marius & Mai, Jan-Frederik & Scherer, Matthias, 2010. "Constructing hierarchical Archimedean copulas with Lévy subordinators," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1428-1433, July.
    11. Pattarin, Francesco & Paterlini, Sandra & Minerva, Tommaso, 2004. "Clustering financial time series: an application to mutual funds style analysis," Computational Statistics & Data Analysis, Elsevier, pages 353-372.
    12. De Luca, Giovanni & Zuccolotto, Paola, 2013. "A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering," MPRA Paper 50129, University Library of Munich, Germany.
    13. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2014. "Clustering of financial time series in risky scenarios," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 8(4), pages 359-376, December.
    14. Roger Shepard, 1962. "The analysis of proximities: Multidimensional scaling with an unknown distance function. II," Psychometrika, Springer;The Psychometric Society, pages 219-246.
    15. Otranto, Edoardo, 2008. "Clustering heteroskedastic time series by model-based procedures," Computational Statistics & Data Analysis, Elsevier, pages 4685-4698.
    16. João A. Bastos & Jorge Caiado, 2014. "Clustering financial time series with variance ratio statistics," Quantitative Finance, Taylor & Francis Journals, pages 2121-2133.
    17. Frahm, Gabriel & Junker, Markus & Schmidt, Rafael, 2005. "Estimating the tail-dependence coefficient: Properties and pitfalls," Insurance: Mathematics and Economics, Elsevier, pages 80-100.
    18. Otranto, Edoardo, 2008. "Clustering heteroskedastic time series by model-based procedures," Computational Statistics & Data Analysis, Elsevier, pages 4685-4698.
    19. Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2013. "On the structure and estimation of hierarchical Archimedean copulas," Journal of Econometrics, Elsevier, pages 189-204.
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