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A GARCH-based method for clustering of financial time series: International stock markets evidence. (2007). Crato, Nuno ; Caiado, Jorge.
In: MPRA Paper.
RePEc:pra:mprapa:2074.

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  1. COVID-19 and Stock Market Volatility: A Clustering Approach for S&P 500 Industry Indices. (2022). Caiado, Jorge ; Lucio, Francisco.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003646.

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  2. On the classification of financial data with domain agnostic features. (2021). Caiado, Jorge ; Bastos, João.
    In: Working Papers REM.
    RePEc:ise:remwps:wp01852021.

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  3. On Classifying the Effects of Policy Announcements on Volatility. (2020). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, D.
    In: Working Paper CRENoS.
    RePEc:cns:cnscwp:202008.

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  4. On Classifying the Effects of Policy Announcements on Volatility. (2020). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, Demetrio.
    In: Papers.
    RePEc:arx:papers:2011.14094.

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  5. Improving S&P stock prediction with time series stock similarity. (2020). Sidi, Lior.
    In: Papers.
    RePEc:arx:papers:2002.05784.

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  6. A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2019). Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier ; Donnat, Philippe .
    In: Papers.
    RePEc:arx:papers:1703.00485.

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  7. Grouping Stock Markets with Time-Varying Copula-GARCH Model. (2014). Majdosz, Paweł ; Czapkiewicz, Anna.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:64:y:2014:i:2:p:144-159.

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  8. Latent class models for financial data analysis: some statistical developments. (2013). De Angelis, Luca.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:22:y:2013:i:2:p:227-242.

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  9. Clustering of financial time series. (2013). D'Urso, Pierpaolo ; Cappelli, Carmela ; Massari, Riccardo ; DUrso, Pierpaolo ; Di Lallo, Dario .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:9:p:2114-2129.

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  10. Clustering Mutual Funds by Return and Risk Levels. (2008). Lisi, Francesco.
    In: Working Paper CRENoS.
    RePEc:cns:cnscwp:200813.

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References

References cited by this document

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