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Metodi statistici per il confronto di serie storiche con applicazioni finanziarie

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  • Michela Borghesi

Abstract

This paper deals with some statistical methods for the comparison of multivariate time series of arbitrary dimensions, with particular attention to the SMETS method. As regards the application in the financial field, the case of missing data in the historical series is first dealt with, then the use of the multi-scale permutation entropy is presented. Finally, it ends with a quick methodological comparison on how to treat time series of different lengths, in particular reference is made to the spectral domain method.

Suggested Citation

  • Michela Borghesi, 2020. "Metodi statistici per il confronto di serie storiche con applicazioni finanziarie," Working Papers 2020049, University of Ferrara, Department of Economics.
    • Handle: RePEc:udf:wpaper:2020049
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    References listed on IDEAS

    as
    1. Maharaj, Elizabeth Ann, 2002. "Comparison of non-stationary time series in the frequency domain," Computational Statistics & Data Analysis, Elsevier, vol. 40(1), pages 131-141, July.
    2. Avraam Tapinos & Pedro Mendes, 2013. "A Method for Comparing Multivariate Time Series with Different Dimensions," PLOS ONE, Public Library of Science, vol. 8(2), pages 1-11, February.
    3. D. S. Coates & P. J. Diggle, 1986. "Tests For Comparing Two Estimated Spectral Densities," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(1), pages 7-20, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Analisi di Serie Storiche; Metrica; Cluster Analysis; Statistica Finanziaria;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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