Clustering financial time series: new insights from an extended hidden Markov model
DOI10.1016/J.EJOR.2014.12.041zbMATH Open1347.62224OpenAlexW1978637569MaRDI QIDQ319224FDOQ319224
Sofia Ramos, Jeroen K. Vermunt, José G. Dias
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10071/8915
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cited In (16)
- A testing approach to clustering scalar time series
- Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
- Trimmed fuzzy clustering of financial time series based on dynamic time warping
- Extracting clusters from aggregate panel data: a market segmentation study
- Robust multivariate and functional archetypal analysis with application to financial time series analysis
- Using parametric classification trees for model selection with applications to financial risk management
- Dimension reduction for longitudinal multivariate data by optimizing class separation of projected latent Markov models
- Clustering of financial time series in risky scenarios
- Optimal unions of hidden classes
- A hidden Markov model for latent temporal clustering with application to ideological alignment in the U.S. Supreme Court
- Multi-period portfolio selection with drawdown control
- Detecting stock market regimes from option prices
- Identifying household finance heterogeneity via deep clustering
- Option pricing with conditional GARCH models
- Estimating stochastic discount factor models with hidden regimes: applications to commodity pricing
- Nonparametric dependence modeling via cluster analysis: A financial contagion application
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