Clustering financial time series by measures of tail dependence

Abstract

Peer reviewed

Fabrizio Durante, Roberta Pappadà and Nicola Torelli

Cladag 2013: 9th Meeting of the Classification and Data Analysis Group; book of abstracts

9th Meeting of the Classification and Data Analysis Group (Cladag 2013) (Modena, 18/09/2013 - 20/09/2013)

2013

Handle:

https://hdl.handle.net/10863/10450

Abstract

Quantitative methods and economic modeling

Financial markets

Time series

Tail dependence

Copulas

url

http://www.cladag2013.it/View

Title: Clustering financial time series by measures of tail dependence
Creators: Fabrizio Durante
Roberta Pappadà
Nicola Torelli
Publication Details: Cladag 2013: 9th Meeting of the Classification and Data Analysis Group; book of abstracts
Editor(s): Minerva T, Morlini I, Palumbo F
ISBN: 978-88-6787-117-9
Conference: 9th Meeting of the Classification and Data Analysis Group (Cladag 2013) (Modena, 18/09/2013 - 20/09/2013)
Publisher: CLEUP
Padova
Number of pages: 4
Identifiers: 978-88-6787-117-9
(UNIBZ)745660
991005772438201241
Scopus ID: n.a.
Academic Unit: Faculty of Economics and Management
Language: English
Resource Type: Abstract
Author Names String: Durante F, Pappadà R, Torelli N
Additional Description: srcEditors: Minerva T, Morlini I, Palumbo F
Projected: 3339
unibz-area: Quantitative methods and economic modeling
MIURSSD: Statistica
MIURSSDCODE: SECS-S/01

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