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Clustering of time series via non-parametric tail dependence estimation

Durante Fabrizio
•
PAPPADA' , ROBERTA
•
TORELLI, Nicola
2015
  • journal article

Periodico
STATISTICAL PAPERS
Abstract
We present a procedure for clustering time series according to their tail dependence behaviour as measured via a suitable copula-based tail coefficient, estimated in a non-parametric way. Simulation results about the proposed methodology together with an application to financial data are presented showing the usefulness of the proposed approach.
DOI
10.1007/s00362-014-0605-7
WOS
WOS:000358219900008
Archivio
http://hdl.handle.net/11368/2787726
info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-84937521326
https://link.springer.com/article/10.1007%2Fs00362-014-0605-7
Diritti
open access
license:copyright editore
license:digital rights management non definito
FVG url
https://arts.units.it/request-item?handle=11368/2787726
Soggetti
  • Cluster analysi

  • Copula

  • Extreme-value theory

  • Risk management

  • Tail dependence

Scopus© citazioni
20
Data di acquisizione
Jun 14, 2022
Vedi dettagli
Web of Science© citazioni
24
Data di acquisizione
Mar 27, 2024
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