proposes a Bayesian Clustering Model (BCM) combining Bayesian factor selection and panel tree for asset clustering. The … Bayesian model marginal likelihood guides the tree growth for clustering assets, where each leaf cluster fits heterogeneous … to some leaf clusters when splitting the cross section. The tree visualizes individual stock clustering with important …

intensities are investigated. A point-process framework is used to estimate the degree of clustering among the detected jumps. We … compare several clustering functions of the jump intensity and show that the proposed one is able to describe the phenomenon … significant degree of clustering, and this conclusion is robust against the effect of spurious jumps, for which we present a …

an unsupervised-supervised machine learning approach, hierarchical clustering, and artificial neural network (ANN) by …