Regime dependent interconnectedness among fuzzy clusters of financial time series

DOI10.1007/S11634-020-00405-8OpenAlexW3036375138MaRDI QIDQ2036158

Giovanni De Luca, Paola Zuccolotto

Publication date: 28 June 2021

Published in: Advances in Data Analysis and Classification. ADAC (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11634-020-00405-8

zbMATH Keywords

regime switchingfuzzy clusteringtail dependencecopula functionstime series clustering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Related Items (1)

Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach

Uses Software

• CRAN
• igraph
• VineCopula
• tsDyn
• fclust
• fc

Cites Work

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• Clustering of financial time series in risky scenarios
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Clustering of time series via non-parametric tail dependence estimation
• Thresholds and Smooth Transitions in Vector Autoregressive Models
• A new approach to clustering

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