Clustering financial time series: new insights from an extended hidden Markov model
In recent years, large amounts of financial data have become available for analysis. We propose exploring returns from 21 European stock markets by model-based clustering of regime switching models. These econometric models identify clusters of time series with similar dynamic patterns and moreover...
| Autor principal: | |
|---|---|
| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2015
|
| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10071/8915 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/8915 |