2 papers
stat.ME2021
Model-based fuzzy time series clustering of conditional higher moments
Roy Cerqueti, Massimiliano Giacalone, Raffaele Mattera
This paper develops a new time series clustering procedure allowing for heteroskedasticity, non-normality and model's non-linearity. At this aim, we follow a fuzzy approach. Specif…
q-fin.ST2020
Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
Roy Cerqueti, Massimiliano Giacalone, Raffaele Mattera
Recently, cryptocurrencies have attracted a growing interest from investors, practitioners and researchers. Nevertheless, few studies have focused on the predictability of them. In…