Dynamic tail dependence clustering of financial time series
DOI10.1007/S00362-015-0718-7zbMATH Open1416.62581OpenAlexW1886358209MaRDI QIDQ1685205FDOQ1685205
Authors: Giovanni De Luca, Paola Zuccolotto 
Publication date: 13 December 2017
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-015-0718-7
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Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
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- Clustering heteroskedastic time series by model-based procedures
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- An introduction to copulas.
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- An examination of indexes for determining the number of clusters in binary data sets
- Multivariate analysis in vector time series.
- Comparing several parametric and nonparametric approaches to time series clustering: a simulation study
- Clustering of time series via non-parametric tail dependence estimation
Cited In (13)
- Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
- Copulae: an overview and recent developments
- Robust fuzzy clustering based on quantile autocovariances
- A double clustering algorithm for financial time series based on extreme events
- Clustering of financial time series in risky scenarios
- 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
- 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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