We present a procedure for clustering time series according to their tail dependence behaviour as measured via a suitable copula-based tail coefficient, estimated in a non-parametric way. Simulation results about the proposed methodology together with an application to financial data are presented showing the usefulness of the proposed approach.
Clustering of time series via non-parametric tail dependence estimation
PAPPADA' , ROBERTA;TORELLI, Nicola
2015-01-01
Abstract
We present a procedure for clustering time series according to their tail dependence behaviour as measured via a suitable copula-based tail coefficient, estimated in a non-parametric way. Simulation results about the proposed methodology together with an application to financial data are presented showing the usefulness of the proposed approach.File in questo prodotto:
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