DYNAMIC INTERDEPENDENCE BETWEEN ASSET CLASSES
This article proposes a new approach for identifying groups of assets that exhibit similar behavior under various market conditions using Spectral Co-Clustering with VAR modeling. Our approach uses VAR models to capture the dynamic interdependence between different asset classes and applies Spectral...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Editura Sitech
2023-07-01
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| Series: | Social Sciences and Education Research Review |
| Subjects: | |
| Online Access: | https://sserr.ro/wp-content/uploads/2023/07/sserr-10-1-269-283.pdf |
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