[R-SIG-Finance] Volatility clusters
kafka at centras.lt
Mon Jul 19 12:39:06 CEST 2010
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
Characteristics,’ Extremes, Vol 6, 3, 189-211.
F. Laurini, 2004, ‘Clusters of Extreme Observations and Extremal Index
Garch Processes,” Studies in Nonlinear Dynamics & Econometrics, Vol 8, Issue
What would be your recommendation?
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