DYNAMIC INTERDEPENDENCE BETWEEN ASSET CLASSES: A SPECTRAL CO-CLUSTERING AND VAR ANALYSIS

Andrei-Dragos Popescu and Cristi Spulbar ()
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Andrei-Dragos Popescu: PhD Student, Doctoral School of Economic Sciences, University of Craiova, Craiova, Romania

Social Sciences and Education Research Review, 2023, vol. 10, issue 1, 269-283

Abstract: This article proposes a new approach for identifying groups of assets that exhibit similar behavior under various market conditions using Spectral Co-Clustering with VAR modeling. Our approach uses VAR models to capture the dynamic interdependence between different asset classes and applies Spectral Co-Clustering to identify groups of assets that exhibit similar patterns of behavior. The method is evaluated on a dataset of asset prices, and its performance is compared to existing methods using various metrics. Results show that our proposed method outperforms other existing methods. The proposed approach can help investors identify groups of asset classes that behave similarly under different market conditions.

Keywords: Spectral Co-Clustering; Financial Digital Assets; Crypto Assets; Financial Markets; European Markets (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:edt:jsserr:v:10:y:2023:i:1:p:269-283

DOI: 10.5281/zenodo.8241412

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