A double clustering algorithm for financial time series based on extreme events
DOI10.1515/STRM-2015-0026zbMATH Open1362.60051OpenAlexW2523631717MaRDI QIDQ2397475FDOQ2397475
Giovanni De Luca, Paola Zuccolotto
Publication date: 22 May 2017
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://www.degruyter.com/view/j/strm.2017.34.issue-1-2/strm-2015-0026/strm-2015-0026.xml?format=INT
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70)
Cites Work
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- Statistics of financial markets. An introduction
- Clustering of time series via non-parametric tail dependence estimation
- Dynamic tail dependence clustering of financial time series
- Clustering of financial time series in risky scenarios
- Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach
- Time Series Clustering on Lower Tail Dependence for Portfolio Selection
- Applied Quantitative Finance
- Cluster Analysis of Time Series via Kendall Distribution
- Model‐based clustering of regression time series data via APECM—an AECM algorithm sung to an even faster beat
Cited In (5)
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- Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach
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