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Equity clusters through the lens of realized semicorrelations
Bollerslev, Tim; Patton, Andrew J.; Zhang, Haozhe - In: Economics letters 211 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10013172536
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The role of heterogeneity in asset pricing : the effect of a clustering approach
Grishchenko, Olesya V.; Rossi, Marco - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 2, pp. 297-311
Persistent link: https://www.econbiz.de/10009657306
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Stock index pattern discovery viaToeplitz Inverse Covariance-Based Clustering
Ouyang, Hongbing; Wei, Xiaolu; Wu, Quifeng - In: Romanian journal of economic forecasting 23 (2020) 2, pp. 58-72
Persistent link: https://www.econbiz.de/10012422442
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Trade-size clustering and price efficiency
Chen, Tao - In: Japan and the world economy : international journal of … 49 (2019), pp. 195-203
Persistent link: https://www.econbiz.de/10012306159
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Warnings about future jumps : properties of the exponential Hawkes model
Foschi, Rachele; Lilla, Francesca; Mancini, Cecilia - 2020
Persistent link: https://www.econbiz.de/10012306820
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Clustering of extremes in financial returns : a study of developed and emerging markets
Alokley, Sara Ali; Albarrak, Mansour Saleh - In: Journal of risk and financial management : JRFM 13 (2020) 7/141, pp. 1-11
emerging markets, we use indices from China, Brazil, India, Malaysia, Russia, Saudi Arabia, and Portugal. The results show that …
Persistent link: https://www.econbiz.de/10012309278
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The price impact of trade-size clustering : evidence from an intraday analysis
Chen, Tao - In: Journal of business research : JBR 101 (2019), pp. 300-314
Persistent link: https://www.econbiz.de/10012103276
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Order price clustering, size clustering, and stock price movements: evidence from the Taiwan Stock Exchange
Lien, Da-hsiang Donald; Hung, Pi-Hsia; Hung, I-Chung - In: Journal of empirical finance 52 (2019), pp. 149-177
Persistent link: https://www.econbiz.de/10012170684
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Analysis of dynamic correlation of Japanese stock returns with network clustering
Isogai, Takashi - In: Asia-Pacific financial markets 24 (2017) 3, pp. 193-220
Persistent link: https://www.econbiz.de/10011797666
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A new method for dynamic stock clustering based on spectral analysis
Li, Zhaoyuan; Tian, Maozai - In: Computational economics 50 (2017) 3, pp. 373-392
Persistent link: https://www.econbiz.de/10011783319