This paper proposes volatility and spectral based methods for the cluster analysis of stock returns. Using the … information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared …

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 …

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 …

-euro area stock market series from 1994 to 2006, by using cluster analysis techniques for time series. We use an interpolated-periodogram …

series. A periodogram-based metric for mean and squared returns is used to compute distances between the series. This method …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …