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Autor
Czapkiewicz Anna (AGH University of Science and Technology Kraków, Poland), Basiura Beata (AGH University of Science and Technology Kraków, Poland)
Tytuł
Clustering Financial Data Using Copula-Garch Model in an Application for Main Market Stock Returns
Źródło
Statistics in Transition, 2010, vol. 11, nr 1, s. 25-45, rys., tab., bibliogr. s. 43-45
Słowa kluczowe
Funkcje połączeń, Modele ekonometryczne, Rynek kapitałowy, Szeregi czasowe
Copula Functions, Econometric models, Capital market, Time-series
Uwagi
summ.
Abstrakt
There are many statistical techniques that allow us to find similarities among variables. Cluster analysis discovers structure within sets of data. The choice of a relevant metric is a fundamental problem in the case of clustering financial data. In this paper, the Copula-GARCH model is used to obtain the dependency parameter between time series. The dissimilarity measure based on the maximum likelihood parameter obtained from the Normal or t-Student copula is proposed and applied to classify forty two indices from American, European, and Asian stock markets. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
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Bibliografia
Pokaż
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ISSN
1234-7655
Język
eng
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