Publication
Identifying common spectral and asymmetric features in stock returns
| dc.contributor.author | Caiado, Jorge | |
| dc.contributor.author | Crato, Nuno | |
| dc.date.accessioned | 2023-05-09T14:09:31Z | |
| dc.date.available | 2023-05-09T14:09:31Z | |
| dc.date.issued | 2007 | |
| dc.description.abstract | This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the information about both the periodogram of the squared returns and the estimated parameters in the TARCH equation, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree (or dendrogram) and the computed principal coordinates. We employ these techniques to investigate the similarities and dissimilarities between the "blue-chip" stocks used to compute the Dow Jones Industrial Average (DJIA) index. For reference, we investigate also the similarities among stock returns by mean and squared correlation methods. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Caiado, Jorge and Nuno Crato .(2007). “Identifying common spectral and asymmetric features in stock returns”. MPRA Paper No. 6607 -2007. (Search PDF in 2023). | pt_PT |
| dc.identifier.doi | MPRA Paper No. 6607/ 2007. (Search PDF in 2023). | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.5/27735 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | MPRA - Munich Personal RePEc Archive | pt_PT |
| dc.subject | Asymmetric Effects | pt_PT |
| dc.subject | Cluster Analysis | pt_PT |
| dc.subject | DJIA Stock Returns | pt_PT |
| dc.subject | Periodogram | pt_PT |
| dc.subject | Threshold ARCH Model | pt_PT |
| dc.subject | Volatility | pt_PT |
| dc.title | Identifying common spectral and asymmetric features in stock returns | pt_PT |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | workingPaper | pt_PT |