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features in stock returns

By Stock Returns, Jorge Caiado and Nuno CratoJorge Caiado and Nuno Crato

Abstract

This paper proposes volatility and spectral based methods for cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree (or dendrogram) and the computed principal coordinates. We employ these techniques to investigate the similarities and dissimilarities between the "bluechip" stocks used to compute the Dow Jones Industrial Average (DJIA) index

Topics: Asymmetric e¤ects, Cluster analysis, DJIA stock returns, Periodogram, Threshold GARCH model, Volatility
Year: 2009
OAI identifier: oai:CiteSeerX.psu:10.1.1.318.5513
Provided by: CiteSeerX
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