Dynamic tail dependence clustering of financial time series
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Cites work
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Algorithm AS 136: A K-Means Clustering Algorithm
- An examination of indexes for determining the number of clusters in binary data sets
- An introduction to copulas.
- Clustering heteroskedastic time series by model-based procedures
- Clustering of time series via non-parametric tail dependence estimation
- Comparing several parametric and nonparametric approaches to time series clustering: a simulation study
- Multivariate analysis in vector time series.
Cited in
(18)- Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
- Financial clustering in presence of dominant markets
- Copulae: an overview and recent developments
- Robust fuzzy clustering based on quantile autocovariances
- Clustering of financial instruments using jump tail dependence coefficient
- A double clustering algorithm for financial time series based on extreme events
- Clustering of financial time series in risky scenarios
- Clustering of time series via non-parametric tail dependence estimation
- Regime dependent interconnectedness among fuzzy clusters of financial time series
- A spatially-weighted AMH copula-based dissimilarity measure for clustering variables: an application to urban thermal efficiency
- Quantile correlation coefficient: a new tail dependence measure
- Entropy-based fuzzy clustering of interval-valued time series
- Time series clustering on lower tail dependence for portfolio selection
- Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
- Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach
- Goodness-of-fit test of copula functions for semi-parametric univariate time series models
- Tail diversification strategy. An application to MSCI World Sector Indices
- Nonparametric dependence modeling via cluster analysis: A financial contagion application
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