GARCH-based robust clustering of time series
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Publication:2013753
DOI10.1016/J.FSS.2016.01.010zbMATH Open1368.62167OpenAlexW2291119068MaRDI QIDQ2013753FDOQ2013753
Authors: Pierpaolo D'Urso, L. De Giovanni, Riccardo Massari 
Publication date: 9 August 2017
Published in: Fuzzy Sets and Systems (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11385/164603
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outlierstrimmingGARCH modelnoise clusterheteroskedastic time seriesfuzzy partitioning around medoidsinternational stock-market volatility daily returnsrobust metricunconditional and time-varying volatilityvolatilities daily stocks returns
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to economics (62P20) Inference from stochastic processes and fuzziness (62M86) Multivariate analysis and fuzziness (62H86)
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Cited In (29)
- Fuzzy data analysis and classification. Special issue in memoriam of Professor Lotfi A. Zadeh, father of fuzzy logic
- Fuzzy clustering of time series with time-varying memory
- Clustering nonlinear time series with neural network bootstrap forecast distributions
- Coherence-based time series clustering for statistical inference and visualization of brain connectivity
- On classifying the effects of policy announcements on volatility
- Cophenetic-based fuzzy clustering of time series by linear dependency
- Trimmed fuzzy clustering of financial time series based on dynamic time warping
- Robust multivariate and functional archetypal analysis with application to financial time series analysis
- Temporal gap statistic: a new internal index to validate time series clustering
- Robust fuzzy clustering based on quantile autocovariances
- Robust fuzzy clustering of multivariate time trajectories
- Regime dependent interconnectedness among fuzzy clusters of financial time series
- Frequency domain clustering: an application to time series with time-varying parameters
- Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series
- Volatility GARCH models with the ordered weighted average (OWA) operators
- Noise fuzzy clustering of time series by autoregressive metric
- Time works well: dynamic time warping based on time weighting for time series data mining
- Incremental fuzzy clustering of time series
- On the classification of financial data with domain agnostic features
- OWA-based robust fuzzy clustering of time series with typicality degrees
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- Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
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- Fuzzy clustering with entropy regularization for interval-valued data with an application to scientific journal citations
- Robust time series clustering of GARCH (1,1) models with outliers
- Clustering heteroskedastic time series by model-based procedures
- The bootstrap for testing the equality of two multivariate time series with an application to financial markets
- Model-based fuzzy time series clustering of conditional higher moments
- Quantile-based fuzzy \(C\)-means clustering of multivariate time series: robust techniques
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