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Regular variation and extremal dependence of GARCH residuals with application to market risk measures
Laurini, Fabrizio; Tawn, Jonathan A. - In: Econometric reviews 28 (2009) 1/3, pp. 146-169
Persistent link: https://www.econbiz.de/10003800712
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Trading price jump clusters in foreign exchange markets
Novotný, Jan; Petrov, Dmitri; Urga, Giovanni - In: Journal of financial markets 24 (2015), pp. 66-92
Persistent link: https://www.econbiz.de/10011477244
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Volatility clustering in German stock returns : long-run evidence for blue chips of several industries
Sapusek, Annemarie - In: Kapitalmarktforschung und Bankmanagement : Impulse für …, (pp. 81-92). 2004
Persistent link: https://www.econbiz.de/10003018557
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Equilibrium analysis of volatility clustering
Vanden, Joel M. - In: Journal of empirical finance 12 (2005) 3, pp. 374-417
Persistent link: https://www.econbiz.de/10002900506
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A microsimulation of traders activity in the stock market : the role of heterogeneity, agents' interactions and trade frictions
Iori, Giulia - In: Journal of economic behavior & organization : JEBO 49 (2002) 2, pp. 269-285
Persistent link: https://www.econbiz.de/10001702997
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Persistence, excess volatility, and volatility clusters in inflation
Owyang, Michael T. - In: Review / Federal Reserve Bank of St. Louis 83 (2001) 6, pp. 41-49
Persistent link: https://www.econbiz.de/10001624187
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Price clustering in foreign exchange spot markets
Sopranzetti, Ben J.; Datar, Vinay T. - In: Journal of financial markets 5 (2002) 4, pp. 411-417
Persistent link: https://www.econbiz.de/10001711760
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Volatility clustering in monthly stock returns
Jacobsen, Ben; Dannenburg, Dennis Ramon - In: Journal of empirical finance 10 (2003) 4, pp. 479-503
Persistent link: https://www.econbiz.de/10001782292
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Bifurcation routes to volatility clustering
Gaunersdorfer, Andrea; Hommes, Cars H.; Wagener, … - 2000
Persistent link: https://www.econbiz.de/10001554484
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Hausdorff Clustering of Financial Time Series
basalto, nicolas - 2010
A clustering procedure is introduced based on the Hausdorff distance as a similarity measure between clusters of elements. The method is applied to the financial time series of the Dow Jones industrial average (DJIA) index to find companies that share a similar behavior. Comparisons are made...
Persistent link: https://www.econbiz.de/10013138559