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 …

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

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

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 …