Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures
Author:
Affiliation:
1. Melbourne Business School, University of Melbourne, Carlton, Australia
2. Department of Economics, Columbia University, New York, NY
3. School of Finance, Nankai University, Tianjin, China
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/01621459.2016.1195743
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