This paper proposes volatility and spectral based methods for cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, we compute a distance matrix for the stock returns....

In this article, we examine the daily water demand forecasting performance of double seasonal univariate time series models (Holt-Winters, ARIMA and GARCH) based on multi-step ahead forecast mean squared errors. A within-week seasonal cycle and a within-year seasonal cycle are accommodated in...

This research evaluates the human capital and social capital of managers and its influence on the performance of small and medium-sized Portuguese companies. We resorted to the structural modeling methodology approach applied to a sample of 192 small and medium companies aged between four and...

This paper uses logistic regression analysis to examine how intramural and extramural R&D, acquisition of machinery, equipment and software, acquisition of external knowledge, training, market introduction and other procedures and technical preparations determine the innovation behaviour of...

This study introduces a new distance measure for clustering financial time series based on variance ratio test statistics. The proposed metric attempts to assess the level of interdependence of time series from the point of view of return predictability. Simulation results show that this metric...

This paper uses structural equation modeling to examine the linkages between financial performance, sporting performance and stock market performance for English football clubs over the period from 1995 to 2007. The results indicate that there is a strong correlation between financial and...

This study explores the interconnection between human factors and social factors and analyses the relations influenced by the specific activity and age of firms. A statistical approach is implemented which applies factor analysis techniques, based on a sample of small and medium sized firms from...

This study investigates the presence of deterministic dependencies in international stock markets using recurrence plots and recurrence quantification analysis (RQA). The results are based on a large set of free float-adjusted market capitalization stock indices, covering a period of 15 years....

The behavior of international stock market returns in terms of their distributional properties, serial dependence, long-memory and conditional volatility is examined. A factor analysis is employed to identify the underlying dimensions of the returns. The analysis reveals the existence of...