Fast clustering of GARCH processes via Gaussian mixture models
Year of publication: |
2013
|
---|---|
Authors: | Aielli, Gian Piero ; Caporin, Massimiliano |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 94.2013, C, p. 205-222
|
Publisher: |
Elsevier |
Subject: | Gaussian mixtures | Financial time series clustering | Multivariate GARCH | Block structures |
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