This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the … information about both the periodogram of the squared returns and the estimated parameters in the TARCH equation, we compute a …

This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the … information about both the periodogram of the squared returns and the estimated parameters in the TARCH equation, we compute a …

series. A periodogram-based metric for mean and squared returns is used to compute distances between the series. This method …

-euro area stock market series from 1994 to 2006, by using cluster analysis techniques for time series. We use an interpolated-periodogram …

We propose a periodogram-based metric for classification and clustering of time series with different sample sizes. For … such cases, we know that the Euclidean distance between the periodogram ordinates cannot be used. One possible way to deal …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …