Clustering financial time series: new insights from an extended hidden Markov model
From MaRDI portal
Publication:319224
DOI10.1016/j.ejor.2014.12.041zbMath1347.62224OpenAlexW1978637569MaRDI QIDQ319224
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) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05)
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