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Identifying financial time series with similar dynamic conditional correlation.

Edoardo Otranto
Published in: Comput. Stat. Data Anal. (2010)
Keyphrases
  • financial time series
  • financial time series forecasting
  • stock market
  • exchange rate
  • financial data
  • non stationary
  • stock price
  • multivariate time series
  • turning points
  • stock exchange