Identifying common dynamic features in stock returns

Jorge Caiado and Nuno Crato ()

Quantitative Finance, 2010, vol. 10, issue 7, 797-807

Abstract: This paper proposes volatility and spectral based methods for the cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree (or dendrogram) and the computed principal coordinates. We employ these techniques to investigate the similarities and dissimilarities between the 'blue-chip' stocks used to compute the Dow Jones Industrial Average (DJIA) index.

Keywords: Asymmetric effects; Cluster analysis; DJIA stock returns; Periodogram; Threshold GARCH model; Volatility (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/14697680903567152 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Identifying common dynamic features in stock returns (2009)
Working Paper: Identifying common dynamic features in stock returns (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:10:y:2010:i:7:p:797-807

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697680903567152

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().