GARCH-based robust clustering of time series

Published 2016 View Full Article

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Title
GARCH-based robust clustering of time series
Authors
Keywords
Heteroskedastic time series, Unconditional and time-varying volatility, GARCH model, Fuzzy partitioning around medoids, Outliers, Robust metric, Noise cluster, Trimming, Volatilities daily stocks returns, International stock-market volatility daily returns
Journal
FUZZY SETS AND SYSTEMS
Volume 305, Issue -, Pages 1-28
Publisher
Elsevier BV
Online
2016-01-30
DOI
10.1016/j.fss.2016.01.010

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