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Clustering financial time series: New insights from an extended hidden Markov model
16 references·7 citing·31 second hop
Clustering financial time series: New insights from an extended hidden Markov model (2014)Clustering financial time series: New ins…Idiosyncratic risk and the cross-section of expected stock returns (2008)Idiosyncratic risk and the cr…7. Multilevel Latent Class Models (2003)7. Multilevel Latent Class Mo…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…A simple framework for analysing bull and bear markets (2002)A simple framework for analys…Hierarchical structure in financial markets (1999)Hierarchical structure in fin…The variation of certain speculative prices (1997)The variation of certain spec…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Latent Class Models (1995)Latent Class ModelsPredictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Forecasting movements of stock time series based on hidden state guided deep learning approach (2023)Forecasting movements of stoc…Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks (2021)Multi-period portfolio optimi…Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models (2021)Exploring the predictability …Predicting the sequential behavior of mobile Internet users based on MSM model (2019)Predicting the sequential beh…A Clustering-Based Framework for Understanding Individuals’ Travel Mode Choice Behavior (2019)A Clustering-Based Framework …Multi-period portfolio selection with drawdown control (2018)Multi-period portfolio select…Volatility forecasting of crude oil market: A new hybrid method (2017)Volatility forecasting of cru…Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)Forecasting Volatility in Financial Markets: A Review (2003)Common risk factors in the returns on stocks and bonds (1993)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Expected Idiosyncratic Skewness (2009)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Random matrix approach to cross correlations in financial data (2002)A tool for filtering information in complex systems (2005)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)
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  • 2003

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7. Multilevel Latent Class Models
467 cited

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  • 2018Multi-period portfolio selection with drawdown control59 cited
  • 2021Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models41 cited
  • 2019Predicting the sequential behavior of mobile Internet users based on MSM model5 cited
  • 2019A Clustering-Based Framework for Understanding Individuals’ Travel Mode Choice Behavior5 cited