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Identifying common dynamic features in stock returns
Caiado, Jorge; Crato, Nuno - Volkswirtschaftliche Fakultät, … - 2009
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 …
Persistent link: https://www.econbiz.de/10011112725
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Identifying common spectral and asymmetric features in stock returns
Caiado, Jorge; Crato, Nuno - Volkswirtschaftliche Fakultät, … - 2007
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 …
Persistent link: https://www.econbiz.de/10005665396
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Is there an identity within international stock market volatilities?
Caiado, Jorge; Crato, Nuno; Peña, Daniel - Volkswirtschaftliche Fakultät, … - 2007
series. A periodogram-based metric for mean and squared returns is used to compute distances between the series. This method …
Persistent link: https://www.econbiz.de/10005837251
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Identifying the evolution of stock markets stochastic structure after the euro
Caiado, Jorge; Crato, Nuno - Volkswirtschaftliche Fakultät, … - 2008
-euro area stock market series from 1994 to 2006, by using cluster analysis techniques for time series. We use an interpolated-periodogram …
Persistent link: https://www.econbiz.de/10005789849
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An interpolated periodogram-based metric for comparison of time series with unequal lengths
Caiado, Jorge; Crato, Nuno; Peña, Daniel - Volkswirtschaftliche Fakultät, … - 2006
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 …
Persistent link: https://www.econbiz.de/10005621654
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A GARCH-based method for clustering of financial time series: International stock markets evidence
Caiado, Jorge; Crato, Nuno - Volkswirtschaftliche Fakultät, … - 2007
In this paper, we introduce a volatility-based method for clustering analysis of financial time series. Using the … volatilities. The proposed method uses the volatility behavior of the time series and solves the problem of different lengths. As …
Persistent link: https://www.econbiz.de/10005619617
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Evidencia empírica sobre la predictibilidad de los ciclos bursátiles: el comportamiento del índice Dow Jones Industrial Average en las crisis bursátiles de 1929, 1987 y 2997
Escañuela Romana, Ignacio - Volkswirtschaftliche Fakultät, … - 2011
Based on a deterministic hypothesis, this paper aims to verify the regularity of the stock market cycles and, if this regularity is found, the ability to predict major stock market crises. Harmonic analysis, or Fourier series, is applied in order to, decomposing into sinusoids curves, find the...
Persistent link: https://www.econbiz.de/10009278267
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Los Barómetros de Harvard: ¿Permitían Pedecir la Depresión de 1929?
Escañuela Romana, Ignacio - Volkswirtschaftliche Fakultät, … - 2009
This paper reviews the possibility that Harvard barometers would have enabled to predict the Great Depression. Based on data from the ABC curves in August 1929, could have been foreseen the collapse of the stock market and the dramatic fall in economic activity?. It is now accepted that Harvard...
Persistent link: https://www.econbiz.de/10005061662
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Exact Limit of the Expected Periodogram in the Unit-Root Case
Valle e Azevedo, João - Volkswirtschaftliche Fakultät, … - 2007
We derive the limit of the expected periodogram in the unit-root case under general conditions. This function is seen …
Persistent link: https://www.econbiz.de/10005619362
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Discrimination between deterministic trend and stochastic trend processes
Caiado, Jorge; Crato, Nuno - Volkswirtschaftliche Fakultät, … - 2005
autocorrelation, sample partial autocorrelation and periodogram based metrics. …
Persistent link: https://www.econbiz.de/10005626844