Identifying common spectral and asymmetric features in stock returns

Bibliographic Details
Main Author: Caiado, Jorge
Publication Date: 2007
Other Authors: Crato, Nuno
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10400.5/27735
Summary: 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.
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spelling Identifying common spectral and asymmetric features in stock returnsAsymmetric EffectsCluster AnalysisDJIA Stock ReturnsPeriodogramThreshold ARCH ModelVolatilityThis 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.MPRA - Munich Personal RePEc ArchiveRepositório da Universidade de LisboaCaiado, JorgeCrato, Nuno2023-05-09T14:09:31Z20072007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27735engCaiado, Jorge and Nuno Crato .(2007). “Identifying common spectral and asymmetric features in stock returns”. MPRA Paper No. 6607 -2007. (Search PDF in 2023).MPRA Paper No. 6607/ 2007. (Search PDF in 2023).info:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-03-17T16:26:58Zoai:repositorio.ulisboa.pt:10400.5/27735Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T04:15:13.542697Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Identifying common spectral and asymmetric features in stock returns
title Identifying common spectral and asymmetric features in stock returns
spellingShingle Identifying common spectral and asymmetric features in stock returns
Caiado, Jorge
Asymmetric Effects
Cluster Analysis
DJIA Stock Returns
Periodogram
Threshold ARCH Model
Volatility
title_short Identifying common spectral and asymmetric features in stock returns
title_full Identifying common spectral and asymmetric features in stock returns
title_fullStr Identifying common spectral and asymmetric features in stock returns
title_full_unstemmed Identifying common spectral and asymmetric features in stock returns
title_sort Identifying common spectral and asymmetric 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 ARCH Model
Volatility
topic Asymmetric Effects
Cluster Analysis
DJIA Stock Returns
Periodogram
Threshold ARCH Model
Volatility
description 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.
publishDate 2007
dc.date.none.fl_str_mv 2007
2007-01-01T00:00:00Z
2023-05-09T14:09:31Z
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/10400.5/27735
url http://hdl.handle.net/10400.5/27735
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Caiado, Jorge and Nuno Crato .(2007). “Identifying common spectral and asymmetric features in stock returns”. MPRA Paper No. 6607 -2007. (Search PDF in 2023).
MPRA Paper No. 6607/ 2007. (Search PDF in 2023).
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 MPRA - Munich Personal RePEc Archive
publisher.none.fl_str_mv MPRA - Munich Personal RePEc Archive
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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