Symbolic analysis of indicator time series by quantitative sequence alignment

DOI10.1016/J.CSDA.2008.08.033zbMath1231.62203OpenAlexW2030713713MaRDI QIDQ961141

Jan-Michael Rost, Takuya Yamano, Kodai Sato, Taisei Kaizoji, 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

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

Related Items (1)

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

Cites Work

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

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