![]() ![]() To the best of our knowledge, the proposed algorithm is the first to use a sequence alignment technique to pair numerical financial time series directly, without initially transforming numerical values into symbols. Finally, we compute the rank correlation coefficients of the aligned pairs in the fourth stage. After solving the optimal sequence alignment problem using the dynamic programming method, we obtain the aligned pairs of the series. The joint PDF is then utilized as the scoring scheme for pairwise sequence alignment in the third stage. In the second stage, the joint probability density function (PDF) of the fitted skewed- t distributions is computed using the symmetrized Joe–Clayton copula. In first stage returns of financial time series are fitted as skewed- t distributions by the generalized autoregressive conditional heteroscedasticity model. This paper presents a novel four-stage algorithm for the measurement of the rank correlation coefficients between pairwise financial time series. ![]()
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