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Novel pruning based hierarchical agglomerative clustering for mining outliers in financial time series

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Improving many volatility forecasts using cross-dectional volatility clusters

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The inhomogeneity of the cross-sectional distribution of realized assets’ volatility is explored and used to build a novel class of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models. The inhomogeneity of the cross-sectional distribution of realized volatility is captured...

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Cash demand forecasting in ATMs by clustering and neural networks

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