Clustering financial time series with variance ratio statistics

DOI10.1080/14697688.2012.726736zbMath1402.62246OpenAlexW2161052765MaRDI QIDQ5247931

Jorge Caiado, João A. Bastos

Publication date: 27 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.726736

zbMATH Keywords

time seriescluster analysisinternational stock marketsvariance ratio tests

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)

Related Items (9)

Clustering financial time series: new insights from an extended hidden Markov model ⋮ A fragmented-periodogram approach for clustering big data time series ⋮ Clustering of financial time series in risky scenarios ⋮ Temporal clustering of time series via threshold autoregressive models: application to commodity prices ⋮ Trimmed fuzzy clustering of financial time series based on dynamic time warping ⋮ Covariance-based dissimilarity measures applied to clustering wide-sense stationary ergodic processes ⋮ Robust fuzzy clustering based on quantile autocovariances ⋮ Clustering of time series via non-parametric tail dependence estimation ⋮ On the classification of financial data with domain agnostic features

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