[R-SIG-Finance] Volatility clusters

kafkaz kafka at centras.lt
Mon Jul 19 12:39:06 CEST 2010

Dear all,
what would you propose for volatility clusters identification? 
K-mean doesn't fit because it requires to fix length of clusters. SOM
doesn't look good as well.
I found one paper, where the author refers to F. Laurini works:

F. Laurini, J.A. Tawn (2003), ‘New Estimators for the Extremal Index and
Other Cluster
Characteristics,’ Extremes, Vol 6, 3, 189-211.

F. Laurini, 2004, ‘Clusters of Extreme Observations and Extremal Index
Estimate in
Garch Processes,” Studies in Nonlinear Dynamics & Econometrics, Vol 8, Issue
2, 1-21.

What would be your recommendation?
View this message in context: http://r.789695.n4.nabble.com/Volatility-clusters-tp2293786p2293786.html
Sent from the Rmetrics mailing list archive at Nabble.com.

More information about the R-SIG-Finance mailing list