PL EN


2014 | 10 | 41-51
Article title

Dynamic Stock Markets Clustering

Title variants
PL
Dynamiczne grupowanie stóp zwrotu
Languages of publication
EN
Abstracts
PL
W pracy przedstawiono dwa podejścia, służące do badania dynamicznej zależności pomiędzy finansowymi szeregami czasowymi. W pierwszym podejściu do badania zależności między szeregami czasowymi wykorzystano funkcje kopuli oraz dynamikę sterowaną ukrytym procesem Markowa, natomiast drugie podejście wykorzystuje wielowymiarowe procesy auto-regresyjne. W wyniku zastosowania obu podejść otrzymano dynamiczne korelacje pomiędzy badanymi szeregami czasowymi, które stanowiły podstawę do konstrukcji dynamicznego grupowania rynków finansowych.(abstrakt oryginalny)
Year
Volume
10
Pages
41-51
Physical description
Contributors
  • AGH University of Science and Technology, Poland
author
  • AGH University of Science and Technology, Poland
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-31e4f33c-8ee1-4574-bb0d-8f8044a31b9a
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