Mutual funds classifications, often made by rating agencies, are very common and sometimes criticized. In this work, a three-step statistical procedure for mutual funds classification is proposed. In the first step time series funds are characterized in terms of returns. In the second step, a...

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...