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(Springer International Publishing, 2017)We provide a two-stage portfolio selection procedure in order to increase the diversification benefits in a bear market. By exploiting tail dependence-based risky measures, a cluster analysis is carried out for discerning ...
(Springer, 2015)We present a method to cluster time series according to the calculation of the pairwise Kendall distribution function between them. A case study with environmental data illustrates the introduced methodology.
(Springer International Publishing, 2017)We review some recent clustering methods based on copulas. Specifically, in the dissimilarity-based clustering framework, we describe and compare methods based on concordance or tail-dependence concept. An illustration is ...