Temporal clustering of time series via threshold autoregressive models: application to commodity prices

DOI10.1007/s10479-017-2659-0zbMath1404.62083arXiv1605.00779OpenAlexW2963771056MaRDI QIDQ1703537

Ceylan Yozgatligil, Sipan Aslan, Cem Iyigun

Publication date: 2 March 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.00779

zbMATH Keywords

commodity pricesspectral clusteringtime series clustering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Penalized estimation of threshold auto-regressive models with many components and thresholds, Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework, Clustering nonlinear time series with neural network bootstrap forecast distributions, Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help?, Trimmed fuzzy clustering of financial time series based on dynamic time warping

Uses Software

• dtw
• pdc
• Tsclust

Cites Work

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