Metodi statistici per il confronto di serie storiche con applicazioni finanziarie
Michela Borghesi ()
No 2020049, Working Papers from University of Ferrara, Department of Economics
This paper deals with some statistical methods for the comparison of multivariate time series of arbitrary dimensions, with particular attention to the SMETS method. As regards the application in the financial field, the case of missing data in the historical series is first dealt with, then the use of the multi-scale permutation entropy is presented. Finally, it ends with a quick methodological comparison on how to treat time series of different lengths, in particular reference is made to the spectral domain method.
Keywords: Analisi di Serie Storiche; Metrica; Cluster Analysis; Statistica Finanziaria (search for similar items in EconPapers)
JEL-codes: C18 C38 G11 (search for similar items in EconPapers)
Pages: 15 pages
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Persistent link: https://EconPapers.repec.org/RePEc:udf:wpaper:2020049
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