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Dynamic Interdependence Between Asset Classes: A Spectral Co-Clustering And Var Analysis

Author

Listed:
  • Andrei-Dragos Popescu

    (PhD Student, Doctoral School of Economic Sciences, University of Craiova, Craiova, Romania)

  • Cristi Spulbar

    (Professor, Doctoral School of Economic Sciences, University of Craiova, Craiova, Romania)

Abstract

This article proposes a new approach for identifying groups of assets that exhibit similar behavior under various market conditions using Spectral Co-Clustering with VAR modeling. Our approach uses VAR models to capture the dynamic interdependence between different asset classes and applies Spectral Co-Clustering to identify groups of assets that exhibit similar patterns of behavior. The method is evaluated on a dataset of asset prices, and its performance is compared to existing methods using various metrics. Results show that our proposed method outperforms other existing methods. The proposed approach can help investors identify groups of asset classes that behave similarly under different market conditions.

Suggested Citation

  • Andrei-Dragos Popescu & Cristi Spulbar, 2023. "Dynamic Interdependence Between Asset Classes: A Spectral Co-Clustering And Var Analysis," Social Sciences and Education Research Review, Department of Communication, Journalism and Education Sciences, University of Craiova, vol. 10(1), pages 269-283, July.
    • Handle: RePEc:edt:jsserr:v:10:y:2023:i:1:p:269-283
    DOI: 10.5281/zenodo.8241412
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    More about this item

    Keywords

    Spectral Co-Clustering; Financial Digital Assets; Crypto Assets; Financial Markets; European Markets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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