A double clustering algorithm for financial time series based on extreme events

DOI10.1515/strm-2015-0026zbMath1362.60051OpenAlexW2523631717MaRDI QIDQ2397475

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

zbMATH Keywords

portfolio selectiontail dependencecopula functionsfinancial time series clustering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70)

Related Items (4)

Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables ⋮ Trimmed fuzzy clustering of financial time series based on dynamic time warping ⋮ Regime dependent interconnectedness among fuzzy clusters of financial time series ⋮ Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach

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