Clustering financial time series: New insights from an extended hidden Markov model

Keyphrases

• Stock Market 100%
• Financial Time Series 100%
• Extended Hidden Markov Model 100%
• Regime-switching Model 66%
• Econometric Models 33%
• Expected Returns 33%
• Latent Class Model 33%
• Unobserved Heterogeneity 33%
• Financial Data 33%
• Stylized Facts 33%
• Risk-return Relation 33%
• European Market 33%
• Risk-taking Behavior 33%
• Dynamic Pattern 33%
• Stock Index 33%
• Clear Distinction 33%
• Hidden Markov Model 33%
• Model-based Clustering 33%
• Discrete Latent Variables 33%
• Conditional Gaussian 33%
• Bull 33%
• Variable Capture 33%
• Regime-switching Dynamics 33%
• Stability Regime 33%
• Financial Econometrics 33%

Computer Science

• Data Mining 100%
• Identify Cluster 100%
• Financial Data 100%
• Expected Return 100%
• Financial Time 100%

Economics, Econometrics and Finance

• Time Series 100%
• Regime Switching 100%
• Hidden Markov Model 100%
• Econometric Model 33%
• Stock Index 33%
• Item Response Theory 33%
• Financial Econometrics 33%