Search Results - subject:"Model-based clustering"

The impact of Covid-19 on banking groups' balance sheets in the euro area

Agoraki, Maria-Eleni K.; Kouretas, Georgios P.; … - In: Financial markets, institutions & instruments 33 (2024) 4, pp. 381-409

Persistent link: https://www.econbiz.de/10015136019

A vector multiplicative error model with spillover effects and co-movements

Otranto, Edoardo - 2024 - Prima edizione

Persistent link: https://www.econbiz.de/10014519167

An approach to brand planning under high competitor set variation

Dass, Mayukh; Kumar, Piyush; Acharya, Manaswini - In: Journal of business research : JBR 182 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10015130495

Improving many volatility forecasts using cross-dectional volatility clusters

Coretto, Pietro; la Rocca, Michele; Storti, Giuseppe - In: Journal of Risk and Financial Management 13 (2020) 4, pp. 1-23

The inhomogeneity of the cross-sectional distribution of realized assets' volatility is explored and used to build a novel class of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models. The inhomogeneity of the cross-sectional distribution of realized volatility is captured...

Persistent link: https://www.econbiz.de/10012611293

Financial time series: Methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of Risk and Financial Management 13 (2020) 5, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

Persistent link: https://www.econbiz.de/10012611316

Improving many volatility forecasts using cross-dectional volatility clusters

Coretto, Pietro; Rocca, Michele la; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 4/64, pp. 1-23

The inhomogeneity of the cross-sectional distribution of realized assets’ volatility is explored and used to build a novel class of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models. The inhomogeneity of the cross-sectional distribution of realized volatility is captured...

Persistent link: https://www.econbiz.de/10012302505

Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

Persistent link: https://www.econbiz.de/10012304649

On classifying the effects of policy announcements on volatility

Gallo, Giampiero M.; Lacava, Demetrio; Otranto, Edoardo - 2020 - Prima edizione

Persistent link: https://www.econbiz.de/10012515683

A model-based clustering approach for analyzing energy-related financial literacy and its determinants

Kumar, Nilkanth - 2019

model-based clustering strategy in order to differentiate the population based on the level of energy-related financial … meaning and provides support to the model-based clustering approach as a sophisticated alternative. This could be a useful …

Persistent link: https://www.econbiz.de/10011985394

A model-based clustering approach for analyzing energy-related financial literacy and its determinants

Kumar, Nilkanth - 2019 - Last revision: February 1, 2019

Persistent link: https://www.econbiz.de/10011975577