Title:

Clustering financial time series: New insights from an extended hidden Markov model

Authors:

José Gonçalves Dias (ISCTE - Instituto Universitário de Lisboa, UNIDE - ISCTE, IUL)
Jeroen K. Vermunt (U Tilburg)
Sofia Ramos (UNIDE - ISCTE, IUL, NEOMA Business School, Mont-Saint-Aignan)

Journal:

European Journal of Operational Research

Year:

2015

Volume:

243

Number:

3

Pages:

852–864

DOI:

10.1016/j.ejor.2014.12.041