Aielli, Gian Piero; Caporin, Massimiliano - In: Mathematics and Computers in Simulation (MATCOM) 94 (2013) C, pp. 205-222
The financial econometrics literature includes several Multivariate GARCH models where the model parameter matrices depend on a clustering of financial assets. Those classes might be defined a priori or data-driven. When the latter approach is followed, one method for deriving asset groups is...