We discuss two methods for clustering financial time series in extreme scenarios. The procedures are based on the calculations of two different measures of tail dependence, namely the (lower) tail dependence coefficient and the conditional Spearman’s correlation. Performances of the proposed methodologies are compared via a simulation study.
Clustering financial time series by measures oftail dependence
PAPPADA' , ROBERTA;TORELLI, Nicola
2013-01-01
Abstract
We discuss two methods for clustering financial time series in extreme scenarios. The procedures are based on the calculations of two different measures of tail dependence, namely the (lower) tail dependence coefficient and the conditional Spearman’s correlation. Performances of the proposed methodologies are compared via a simulation study.File in questo prodotto:
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