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)
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