Symbolic analysis of indicator time series by quantitative sequence alignment

DOI10.1016/J.CSDA.2008.08.033MaRDI QIDQ961141zbMATH OpenOpenAlexFDO

Authors Takuya Yamano, Kodai Sato, Taisei Kaizoji, Jan-Michael Rost, Lukáš Pichl

Publication date 30 March 2010

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2008.08.033

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

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• Algorithms for the Longest Common Subsequence Problem
• Applied Time Series Econometrics
• Generalized autoregressive conditional heteroscedasticity

Cited in

(3)

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• Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm

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