Symulacyjne badanie wpływu zaburzeń na grupowanie szeregów czasowych na podstawie modelu Copula-GARCH
The simulation study of the utility of the Copula-GARCH models for clustering financial time series

Summary/Abstract: The paper presents a simulation study for testing the correctness of the method of grouping based on the parameter set from Copula-GARCH model. The influence of disturbances in time series on their classification was studied. In particular, the impact on the outcome of classification of dismissing the existing skewness in modeling time series was examined.

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