Variance clustering improved dynamic conditional correlation MGARCH estimators.
Gian Piero AielliMassimiliano CaporinPublished in: Comput. Stat. Data Anal. (2014)
Keyphrases
- correlation coefficient
- k means
- variance estimator
- clustering method
- information theoretic
- hierarchical clustering
- data points
- low variance
- data objects
- standard deviation
- dynamic environments
- clustering algorithm
- machine learning
- spectral clustering
- document clustering
- self organizing maps
- dissimilarity measure
- categorical data
- variance reduction
- cross validated
- unsupervised learning