Found 15 Documents (Results 1–15)
Regime dependent interconnectedness among fuzzy clusters of financial time series. (English) Zbl 07363876
A copula-based quantile model. (English) Zbl 1397.62177
Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. MAF 2018. Selected papers based on the presentations at the international conference, Madrid, Spain, April 4–6, 2018. Cham: Springer (ISBN 978-3-319-89823-0/hbk; 978-3-319-89824-7/ebook). 311-315 (2018).
Dynamic tail dependence clustering of financial time series. (English) Zbl 1416.62581
Reviewer: Anatoli Mogulskii (Novosibirsk)
A double clustering algorithm for financial time series based on extreme events. (English) Zbl 1362.60051
Time series clustering on lower tail dependence for portfolio selection. (English) Zbl 1418.91463
Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10–12, 2012. Cham: Springer. 131-140 (2014).
Time-varying mixing weights in mixture autoregressive conditional duration models. (English) Zbl 1161.62073
Exploring the copula approach for the analysis of financial durations. (English) Zbl 1137.91589
Perna, Cira (ed.) et al., Mathematical and statistical methods in insurance and finance. Papers presented at the MAF2006 conference, Salerno, Italy, October 11–13, 2006. Milan: Springer (ISBN 978-88-470-0703-1/hbk). 99-106 (2008).
MSC:
91B82
91B28
A multivariate skew-GARCH model. (English) Zbl 1190.91167
Terrell, Dek (ed.) et al., Econometric analysis of financial and economic time series. Part A. Amsterdam: Elsevier/JAI (ISBN 978-0-76-231274-0). Advances in Econometrics 20A, Article ID 1771264, 33-57 (2006).
Mixture processes for financial intradaily durations. (English) Zbl 1081.91526
MSC:
91B28
91B26
Estimation of stochastic volatility models. (English) Zbl 1069.91041
Kontoghiorghes, Erricos John (ed.) et al., Computational methods in decision-making, economics and finance. Dordrecht: Kluwer Academic Publishers (ISBN 1-4020-0839-2/hbk). Appl. Optim. 74, 541-556 (2002).
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