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

Giovanni De Luca () and Paola Zuccolotto ()

Advances in Data Analysis and Classification, 2011, vol. 5, issue 4, 323-340

Keywords: Time series; Clustering; Tail dependence; Copula function; 62H30; 62M10 (search for similar items in EconPapers)
Date: 2011
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Advances in Data Analysis and Classification is currently edited by H.-H. Bock, W. Gaul, A. Okada, M. Vichi and C. Weihs

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