A double clustering algorithm for financial time series based on extreme events (Q2397475)
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scientific article; zbMATH DE number 6722156
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| English | A double clustering algorithm for financial time series based on extreme events |
scientific article; zbMATH DE number 6722156 |
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A double clustering algorithm for financial time series based on extreme events (English)
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22 May 2017
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financial time series clustering
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tail dependence
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copula functions
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portfolio selection
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0.8437246084213257
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0.8402504324913025
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0.8400694727897644
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0.8158708214759827
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0.8158556222915649
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