Abstract In this paper we propose a framework for fuzzy clustering of time series based on directional volatility spillovers. the case financial series, detecting clusters spillovers provides insights into market structure, which can be useful to both portfolio managers and policy makers. We measure directional—i.e. “From” “To” others—volatility with methodology generalized forecast-error varia...

Outline Introduction Semi-parametric dynamic copula Motivation Local likelihood estimation Variance of the estimator Bias of the estimator Bandwidth selection Estimation of joint likelihood Modeling of marginal distributions Simulations and applications Simulations Empirical example Conclusions Problems and Solutions Problems Modeling dependence is critical for financial time series Model volat...

One of the main tasks to analyze and design a mining system is predicting the behavior exhibited by prices in the future. In this paper, the applications of different prediction methods are evaluated in econometrics and financial management fields, such as ARIMA, TGARCH, and stochastic differential equations, for the time-series of monthly copper prices. Moreover, the performance of these metho...