On clustering financial time series: a need for distances between dependent random variables
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Cited by:
- Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
- Alexa Orton & Tim Gebbie, 2024. "Representation Learning for Regime detection in Block Hierarchical Financial Markets," Papers 2410.22346, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2016-04-09 (Econometrics)
- NEP-ETS-2016-04-09 (Econometric Time Series)
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