A tail dependence-based dissimilarity measure for financial time series clustering

نویسندگان

  • Giovanni De Luca
  • Paola Zuccolotto
چکیده

In this paper we propose a clustering procedure aimed at grouping time series with an association between extremely low values, measured by the lower tail dependence coefficient. Firstly, we estimate the coefficient using an Archimedean copula function. Then, we propose a dissimilarity measure based on tail dependence coefficients and a two-step procedure to be used with clustering algorithms which require that the objects we want to cluster have a geometric interpretation. We show how the results of the clustering applied to financial returns could be used to construct defensive portfolios reducing the effect of a simultaneous financial crisis.

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عنوان ژورنال:
  • Adv. Data Analysis and Classification

دوره 5  شماره 

صفحات  -

تاریخ انتشار 2011