Identifying common dynamic features in stock returns

Detalhes bibliográficos
Autor(a) principal: Caiado, Jorge
Data de Publicação: 2010
Outros Autores: Crato, Nuno
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27670
Resumo: This paper proposes volatility and spectral based methods for the cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, 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.
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spelling Identifying common dynamic features in stock returnsAsymmetric EffectsCluster AnalysisDJIA Stock ReturnsPeriodogramThreshold GARCH ModelVolatilityThis paper proposes volatility and spectral based methods for the cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, 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.Taylor & FrancisRepositório da Universidade de LisboaCaiado, JorgeCrato, Nuno2023-04-28T09:31:38Z20102010-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27670engCaiado, Jorge and Nuno Crato .(2010). “Identifying common dynamic features in stock returns”. Quantitative Finance, Vol. 10, No. 7: pp. 797–807. (Search PDF in 2023)1469–7696 (Online)10.1080/14697680903567152info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-30T01:30:55Zoai:www.repository.utl.pt:10400.5/27670Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:50:28.853160Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Identifying common dynamic features in stock returns
title Identifying common dynamic features in stock returns
spellingShingle Identifying common dynamic features in stock returns
Caiado, Jorge
Asymmetric Effects
Cluster Analysis
DJIA Stock Returns
Periodogram
Threshold GARCH Model
Volatility
title_short Identifying common dynamic features in stock returns
title_full Identifying common dynamic features in stock returns
title_fullStr Identifying common dynamic features in stock returns
title_full_unstemmed Identifying common dynamic features in stock returns
title_sort Identifying common dynamic features in stock returns
author Caiado, Jorge
author_facet Caiado, Jorge
Crato, Nuno
author_role author
author2 Crato, Nuno
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Caiado, Jorge
Crato, Nuno
dc.subject.por.fl_str_mv Asymmetric Effects
Cluster Analysis
DJIA Stock Returns
Periodogram
Threshold GARCH Model
Volatility
topic Asymmetric Effects
Cluster Analysis
DJIA Stock Returns
Periodogram
Threshold GARCH Model
Volatility
description This paper proposes volatility and spectral based methods for the cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, 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.
publishDate 2010
dc.date.none.fl_str_mv 2010
2010-01-01T00:00:00Z
2023-04-28T09:31:38Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27670
url http://hdl.handle.net/10400.5/27670
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Caiado, Jorge and Nuno Crato .(2010). “Identifying common dynamic features in stock returns”. Quantitative Finance, Vol. 10, No. 7: pp. 797–807. (Search PDF in 2023)
1469–7696 (Online)
10.1080/14697680903567152
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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