Fast clustering of GARCH processes via Gaussian mixture models (Q2227446)
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scientific article; zbMATH DE number 7310463
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| English | Fast clustering of GARCH processes via Gaussian mixture models |
scientific article; zbMATH DE number 7310463 |
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Fast clustering of GARCH processes via Gaussian mixture models (English)
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15 February 2021
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Gaussian mixtures
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financial time series clustering
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multivariate GARCH
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block structures
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0.8350020051002502
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0.8164566159248352
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0.7976149916648865
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0.7684001922607422
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0.7607699632644653
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