GARCH-based robust clustering of time series

DOI10.1016/J.FSS.2016.01.010zbMath1368.62167OpenAlexW2291119068MaRDI QIDQ2013753

Riccardo Massari, Pierpaolo D'Urso, Livia De Giovanni

Publication date: 9 August 2017

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11385/164603

zbMATH Keywords

outlierstrimmingGARCH modelnoise clusterheteroskedastic time seriesfuzzy partitioning around medoidsinternational stock-market volatility daily returnsrobust metricunconditional and time-varying volatilityvolatilities daily stocks returns

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Inference from stochastic processes and fuzziness (62M86) Multivariate analysis and fuzziness (62H86)

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Uses Software

• clusfind

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