One of the main problems in modelling multivariate conditional covariance time series is the parameterization of the correlation structure because, if no constraints are imposed, it implies a large number of unknown coefficients. The most popular models propose parsimonious representations,...

Financial time series are often characterized by similar volatility structures, often represented by GARCH processes. The detection of clusters of series displaying similar behavior could be important to understand the differences in the estimated processes, without having to study and compare...