Identifying financial time series with similar dynamic conditional correlation
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Cites work
- A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
- A significance test for classifying arma models
- A simple multivariate ARCH model specified by random coefficients
- Asset allocation using flexible dynamic correlation models with regime switching
- Asymmetric multivariate normal mixture GARCH
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Clustering heteroskedastic time series by model-based procedures
- Clusters of time series
- Comparison of Times Series with Unequal Length in the Frequency Domain
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 954235 (Why is no real title available?)
- Multivariate GARCH Models
- Regime switching for dynamic correlations
- Testing for Equal Predictability of Stationary ARMA Processes
- The Interpretation of R 2 in Autoregressive-Moving Average Time Series Models
- Time series clustering and classification by the autoregressive metric
- Volatility spillovers, interdependence and comovements: a Markov switching approach
Cited in
(22)- Clustering heteroskedastic time series by model-based procedures
- Sovereign credit ratings, market volatility, and financial gains
- Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks
- Variance clustering improved dynamic conditional correlation MGARCH estimators
- Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series
- On the estimation of dynamic conditional correlation models
- Discussion of ``An analysis of global warming in the Alpine region based of nonlinear nonstationary time series models by F. Battaglia and M. K. Protopapas
- GARCH-based robust clustering of time series
- Robust fuzzy clustering based on quantile autocovariances
- A fragmented-periodogram approach for clustering big data time series
- Nonlinearities and regimes in conditional correlations with different dynamics
- Model-based fuzzy time series clustering of conditional higher moments
- Clustering space-time series: FSTAR as a flexible STAR approach
- Financial clustering in presence of dominant markets
- Spectral decomposition of the AR metric
- QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES
- Volatility clustering in the presence of time-varying model parameters
- The autoregressive metric for comparing time series models
- Italian contributions on some recent research topics in cluster analysis
- Time-series clustering via quasi U-statistics
- Frequency domain clustering: an application to time series with time-varying parameters
- Entropy-based fuzzy clustering of interval-valued time series
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