Article

Title:
Clustering Financial Time Series with Variance Ratio Statistics
Journal:
Quantitative Finance
Year:
2014
Volume:
14
Pages:
2121-2133
JEL codes:
C58 - Financial Econometrics
F31 - Foreign Exchange
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies
G15 - International Financial Markets
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