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Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm
Puigvert Gutiérrez, Josep Maria; Gregori, Josep Fortiana - 2008
In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset using a cluster analysis technique taking into...
Persistent link: https://www.econbiz.de/10003794031
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Are there monetary clusters in the Eurozone? : the impact of ECB policy
Dominguez-Torres, Helena; Hierro, Luis Ángel - In: Journal of policy modeling : JPMOD ; a social science … 42 (2020) 1, pp. 56-76
Persistent link: https://www.econbiz.de/10012498532
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The economics of EMU : background studies for European economy no 44 "One market, one money"
1991
Persistent link: https://www.econbiz.de/10000821290
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One market, one money : an evaluation of the potential benefits and costs of forming an economic and monetary union
Emerson, Michael (contributor) - 1992
Persistent link: https://www.econbiz.de/10008730507
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One market, one money : an evaluation of the potential benefits and costs of forming an economic and monetary union
Artis, Michael J. - In: Open economies review 2 (1991) 3, pp. 315-321
Persistent link: https://www.econbiz.de/10001109048
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Novel pruning based hierarchical agglomerative clustering for mining outliers in financial time series
Wang, D.; Fortier, P. J.; Michel, H. E. - In: Computational finance and its applications III : …, (pp. 33-42). 2008
Persistent link: https://www.econbiz.de/10003713245
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On composite marginal likelihoods
Varin, Cristiano - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10003649955
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Clustering categorical data based on distance vectors
Zhang, Peng; Wang, Xiaogang; Song, Peter X.-K. - In: Journal of the American Statistical Association : JASA 101 (2006), pp. 355-367
Persistent link: https://www.econbiz.de/10003309886
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Intermittency, long-memory and financial returns
Bhansali, Raj; Holland, Mark P.; Kokoszka, Piotr S. - In: Long memory in economics : with 50 tables, (pp. 39-68). 2006
Persistent link: https://www.econbiz.de/10003375590