The seminars are on Fridays at 11am in Room 2150, Abercrombie Building (H70), unless otherwise specified.
The seminar organiser is Dr Andrey Vasnev.
10th Jun 2016 - 11:00 am
Venue: Room 2150 Abercrombie Bldg H70
Speaker: A/Prof Tomohiro Ando, Melbourne Business School; University of Melbourne
Title: Clustering Huge Number of Financial Time Series: A Panel Data Approach with High-Dimensional Predictors and Factor Structures
This paper introduces a new procedure for clustering a large number of financial time series based on high-dimensional panel data with grouped factor structures. The proposed method attempts to capture the level of similarity of each of the time series based on sensitivity to observable factors as well as to the unobservable factor structure. The proposed method allows for correlations between observable and unobservable factors and also allows for cross-sectional and serial dependence and heteroskedasticities in the error structure, which are common in financial markets. In addition, theoretical properties are established for the procedure.
We apply the method to analyse the returns for over 6,000 international stocks from over 100 financial markets. The empirical analysis quantifies the extent to which the U.S subprime crisis spilled over to the global financial markets. Furthermore, we find that nominal classifications based on either listed market, industry, country or region are insufficient to characterize the heterogeneity of the global financial markets.
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