Clustering financial time series: new insights from an extended hidden Markov model
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Cites work
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 847306 (Why is no real title available?)
- A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
- A dynamic analysis of stock markets using a hidden Markov model
- A hierarchical mixture model for clustering three-way data sets
- A model for real-time failure prognosis based on hidden Markov model and belief rule base
- A new look at the statistical model identification
- An Introduction to Regime Switching Time Series Models
- Asset allocation under multivariate regime switching
- Autoregressive conditional heteroskedasticity and changes in regime
- Clustering financial time series with variance ratio statistics
- Clustering of time series data -- a survey
- Discrimination and Clustering for Multivariate Time Series
- Dynamic asset allocation for varied financial markets under regime switching framework
- Econometrics
- Estimating the dimension of a model
- Finite mixture models
- Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations
- Hidden heterogeneity in manpower systems: a Markov-switching model approach
- Impulse control of pension fund contributions, in a regime switching economy
- Markov switching models in empirical finance
- Portfolio Analysis in a Stable Paretian Market
- Portfolio optimization in a regime-switching market with derivatives
- Time-series data mining
Cited in
(22)- Latent class models for financial data analysis: some statistical developments
- 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
- A segmented regime-switching model with its application to stock market indices
- Extracting clusters from aggregate panel data: a market segmentation study
- Robust multivariate and functional archetypal analysis with application to financial time series analysis
- Financial clustering in presence of dominant markets
- 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
- A dynamic analysis of stock markets using a hidden Markov model
- Optimal unions of hidden classes
- Clustering of financial time series in risky scenarios
- Clustering financial time series with variance ratio statistics
- The number of regimes across asset returns: identification and economic value
- 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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