De Luca, Giovanni; Zuccolotto, Paola A double clustering algorithm for financial time series based on extreme events. (English) Zbl 1362.60051 Stat. Risk. Model. 34, No. 1-2, 1-12 (2017). MSC: 60G70 62M10 PDFBibTeX XMLCite \textit{G. De Luca} and \textit{P. Zuccolotto}, Stat. Risk. Model. 34, No. 1--2, 1--12 (2017; Zbl 1362.60051) Full Text: DOI Link
De Luca, Giovanni; Zuccolotto, Paola Time series clustering on lower tail dependence for portfolio selection. (English) Zbl 1418.91463 Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10–12, 2012. Cham: Springer. 131-140 (2014). MSC: 91G10 62P05 62M10 PDFBibTeX XMLCite \textit{G. De Luca} and \textit{P. Zuccolotto}, in: Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10--12, 2012. Cham: Springer. 131--140 (2014; Zbl 1418.91463) Full Text: DOI