Clustering Mutual Funds by Return and Risk Levels
Download full text from publisher
References listed on IDEAS
- Sergio Da Silva & Jefferson Cunha & Newton Da Costa, Jr, 2005. "Stock selection based on cluster analysis," Economics Bulletin, AccessEcon, vol. 13(1), pages 1-9.
- Caiado, Jorge & Crato, Nuno, 2007. "A GARCH-based method for clustering of financial time series: International stock markets evidence," MPRA Paper 2074, University Library of Munich, Germany.
- Stephen Johnson, 1967. "Hierarchical clustering schemes," Psychometrika, Springer;The Psychometric Society, vol. 32(3), pages 241-254, September.
- repec:ebl:ecbull:v:13:y:2005:i:1:p:1-9 is not listed on IDEAS
- T. Kalantzis & D. Papanastassiou, 2008. "Classification of GARCH time series: an empirical investigation," Applied Financial Economics, Taylor & Francis Journals, vol. 18(9), pages 759-764.
- 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.
- Edoardo Otranto, 2004. "Classifying the Markets Volatility with ARMA Distance Measures," Econometrics 0402009, EconWPA, revised 05 Mar 2004.
- Otranto, Edoardo, 2008.
"Clustering heteroskedastic time series by model-based procedures,"
Computational Statistics & Data Analysis,
Elsevier, vol. 52(10), pages 4685-4698, June.
- 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.
- Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Edoardo Otranto & Romana Gargano, 2015.
"Financial clustering in presence of dominant markets,"
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. 9(3), pages 315-339, September.
- R. Gargano & E. Otranto, 2013. "Financial Clustering in Presence of Dominant Markets," Working Paper CRENoS 201318, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Luca De Angelis, 2013. "Latent class models for financial data analysis: some statistical developments," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(2), pages 227-242, June.
More about this item
Keywordscluster; distance; garch models; risk;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-08-06 (All new papers)
- NEP-FMK-2008-08-06 (Financial Markets)
- NEP-RMG-2008-08-06 (Risk Management)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cns:cnscwp:200813. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Antonello Pau). General contact details of provider: http://edirc.repec.org/data/crenoit.html .