A double clustering algorithm for financial time series based on extreme events
From MaRDI portal
Publication:2397475
Recommendations
- Dynamic tail dependence clustering of financial time series
- Trimmed fuzzy clustering of financial time series based on dynamic time warping
- Time series clustering on lower tail dependence for portfolio selection
- Clustering of financial time series in risky scenarios
- Clustering of time series via non-parametric tail dependence estimation
Cites work
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Applied Quantitative Finance
- Cluster analysis of time series via Kendall distribution
- Clustering financial time series: an application to mutual funds style analysis
- Clustering heteroskedastic time series by model-based procedures
- Clustering of financial time series in risky scenarios
- Clustering of time series via non-parametric tail dependence estimation
- Conditional value-at-risk: optimization approach
- Dynamic tail dependence clustering of financial time series
- Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach
- Model‐based clustering of regression time series data via APECM—an AECM algorithm sung to an even faster beat
- Non-linear time series clustering based on non-parametric forecast densities
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- Pair-copula constructions of multiple dependence
- Statistics of financial markets. An introduction
- Time series clustering and classification by the autoregressive metric
- Time series clustering based on forecast densities
- Time series clustering on lower tail dependence for portfolio selection
Cited in
(8)- Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach
- Trimmed fuzzy clustering of financial time series based on dynamic time warping
- Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
- Regime dependent interconnectedness among fuzzy clusters of financial time series
- Dynamic tail dependence clustering of financial time series
- Clustering of financial time series in risky scenarios
- Clustering of financial instruments using jump tail dependence coefficient
- Time series clustering on lower tail dependence for portfolio selection
This page was built for publication: A double clustering algorithm for financial time series based on extreme events
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2397475)
