Classifying the markets volatility with ARMA distance measures

Otranto, Edoardo . Quaderni di Statistica 2004. 6 (1) :1-19

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Bibtex

@article{CIS-201731,
  Author = {Otranto, Edoardo},
  Title = {Classifying the markets volatility with ARMA distance measures},
  Journal = {Quaderni di Statistica},
  Volume = {6},
  Number = {1},
  Year = {2004},
  Pages = {1--19},
  Keywords = {clusters, GARCH models, agglomerative algorithm}
}

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