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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| Summary: | 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 Co-Clustering to identify groups of assets that exhibit similar patterns of behavior. The method is evaluated on a dataset of asset prices, and its performance is compared to existing methods using various metrics. Results show that our proposed method outperforms other existing methods. The proposed approach can help investors identify groups of asset classes that behave similarly under different market conditions. |
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| ISSN: | 2392-9863 |