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Identifying financial time series with similar dynamic conditional correlation

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2010 Italy English Publisher:Elsevier BVJournal:Computational Statistics & Data Analysis, volume 54, pages 1-15 (issn: 0167-9473, Copyright policy )
Authors: OTRANTO, Edoardo;

doi: 10.1016/j.csda.2009.07.026

handle: 11388/150446 , 11573/1730772 , 11570/1910169

Identifying financial time series with similar dynamic conditional correlation

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Country
Italy
Related Organizations
Keywords

Economic time series analysis, Time series, auto-correlation, regression, etc. in statistics (GARCH), Multivariate GARCH; DCC; distance; Wald test; clustering, Statistical methods; risk measures

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    popularity
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    influence
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    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
39
Top 10%
Top 10%
Top 10%
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