GARCH-based robust clustering of time series - Peeref

标题

GARCH-based robust clustering of time series

作者

关键词

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

出版物

FUZZY SETS AND SYSTEMS

Volume 305, Issue -, Pages 1-28

出版商

Elsevier BV

发表日期

2016-01-30

DOI

10.1016/j.fss.2016.01.010

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