کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1139406 1489420 2013 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Fast clustering of GARCH processes via Gaussian mixture models
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Fast clustering of GARCH processes via Gaussian mixture models
چکیده انگلیسی

The financial econometrics literature includes several Multivariate GARCH models where the model parameter matrices depend on a clustering of financial assets. Those classes might be defined a priori or data-driven. When the latter approach is followed, one method for deriving asset groups is given by the use of clustering methods. In this paper, we analyze in detail one of those clustering approaches, the Gaussian mixture GARCH. This method is designed to identify groups based on the conditional variance dynamic parameters. The clustering algorithm, based on a Gaussian mixture model, has been recently proposed and is here generalized with the introduction of a correction for the presence of correlation across assets. Finally, we introduce a benchmark estimator used to assess the performances of simpler and faster estimators. Simulation experiments show evidence of the improvements given by the correction for asset correlation.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 94, August 2013, Pages 205–222
نویسندگان
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