Fast clustering of GARCH processes via Gaussian mixture models

DOI10.1016/J.MATCOM.2012.09.015MaRDI QIDQ2227446zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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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