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Clustering of financial instruments using jump tail dependence coefficient

Yang, C; Jiang, WJ; Wu, J; Liu, X; Li, ZC

Jiang, WJ (reprint author), Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON N6A 5B7, Canada.

STATISTICAL METHODS AND APPLICATIONS, 2018; 27 (3): 491

Abstract

In this paper, we propose a new clustering procedure for financial instruments. Unlike the prevalent clustering procedures based on time series analys......

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