Fast clustering of GARCH processes via Gaussian mixture models

DOI10.1016/J.MATCOM.2012.09.015zbMATH Open1499.91181OpenAlexW2089619914MaRDI QIDQ2227446FDOQ2227446

Authors: Gian Piero Aielli, Massimiliano Caporin 

Publication date: 15 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2012.09.015

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zbMATH Keywords

Gaussian mixturesmultivariate GARCHblock structuresfinancial time series clustering

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Statistical methods; risk measures (91G70)

Cites Work

• The Model Confidence Set
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Clustering of time series data -- a survey
• Stationarity of GARCH processes and of some nonnegative time series
• Bayesian Clustering of Many Garch Models
• A generalized dynamic conditional correlation model for portfolio risk evaluation

Cited In (6)

• Variance clustering improved dynamic conditional correlation MGARCH estimators
• Robust fuzzy clustering based on quantile autocovariances
• Analysis of dynamic correlation of Japanese stock returns with network clustering
• Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series
• Bayesian Clustering of Many Garch Models
• Dynamic principal component CAW models for high-dimensional realized covariance matrices

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