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Clustering financial time series by measures oftail dependence

Durante Fabrizio
•
Pappadà Roberta
•
Torelli Nicola
2013
  • conference object

Abstract
We discuss two methods for clustering financial time series in extreme scenarios. The procedures are based on the calculations of two different measures of tail dependence, namely the (lower) tail dependence coefficient and the conditional Spearman’s correlation. Performances of the proposed methodologies are compared via a simulation study.
Archivio
http://hdl.handle.net/11368/2801124
Diritti
metadata only access
Soggetti
  • Cluster analysis

  • Copula

  • Tail dependence

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