{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,13]],"date-time":"2026-01-13T02:33:36Z","timestamp":1768271616236,"version":"3.49.0"},"reference-count":57,"publisher":"Springer Science and Business Media LLC","issue":"4","license":[{"start":{"date-parts":[[2013,12,22]],"date-time":"2013-12-22T00:00:00Z","timestamp":1387670400000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Adv Data Anal Classif"],"published-print":{"date-parts":[[2014,12]]},"DOI":"10.1007\/s11634-013-0160-4","type":"journal-article","created":{"date-parts":[[2013,12,21]],"date-time":"2013-12-21T20:13:21Z","timestamp":1387656801000},"page":"359-376","source":"Crossref","is-referenced-by-count":43,"title":["Clustering of financial time series in risky scenarios"],"prefix":"10.1007","volume":"8","author":[{"given":"Fabrizio","family":"Durante","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Roberta","family":"Pappad\u00e0","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Nicola","family":"Torelli","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2013,12,22]]},"reference":[{"key":"160_CR1","doi-asserted-by":"crossref","unstructured":"Bastos J, Caiado J (2013) Clustering financial time series with variance ratio statistics. Quant Financ (in press)","DOI":"10.1080\/14697688.2012.726736"},{"key":"160_CR2","doi-asserted-by":"crossref","first-page":"165","DOI":"10.1017\/CBO9781139151184.009","volume-title":"Handbook on systemic risk","author":"C Bernard","year":"2013","unstructured":"Bernard C, Brechmann E, Czado C (2013) Statistical assessments of systemic risk measures. In: Fouque JP, Langsam J (eds) Handbook on systemic risk. Cambridge University Press, Cambridge, pp 165\u2013179"},{"issue":"8","key":"160_CR3","doi-asserted-by":"crossref","first-page":"2566","DOI":"10.1016\/j.matcom.2008.12.011","volume":"79","author":"M Billio","year":"2009","unstructured":"Billio M, Caporin M (2009) A generalized dynamic conditional correlation model for portfolio risk evaluation. Math Comput Simul 79(8):2566\u20132578","journal-title":"Math Comput Simul"},{"issue":"2","key":"160_CR4","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1080\/17446540500428843","volume":"2","author":"M Billio","year":"2006","unstructured":"Billio M, Caporin M, Gobbo M (2006) Flexible dynamic conditional correlation multivariate GARCH models for asset allocation. Appl Financ Econ Lett 2(2):123\u2013130","journal-title":"Appl Financ Econ Lett"},{"issue":"4","key":"160_CR5","doi-asserted-by":"crossref","first-page":"247","DOI":"10.1007\/s11634-011-0099-2","volume":"5","author":"HH Bock","year":"2011","unstructured":"Bock HH (2011) Special issue on \u201ctime series clustering\u201d. Adv Data Anal Classif 5(4):247\u2013249","journal-title":"Adv Data Anal Classif"},{"issue":"2","key":"160_CR6","doi-asserted-by":"crossref","first-page":"363","DOI":"10.1140\/epjb\/e2004-00129-6","volume":"38","author":"G Bonanno","year":"2004","unstructured":"Bonanno G, Caldarelli G, Lillo F, Miccich\u00e8 S, Vandewalle N, Mantegna R (2004) Networks of equities in financial markets. Eur Phys J B 38(2):363\u2013371","journal-title":"Eur Phys J B"},{"issue":"6","key":"160_CR7","first-page":"8","volume":"2","author":"B Bradley","year":"2004","unstructured":"Bradley B, Taqqu M (2004) Framework for analyzing spatial contagion between financial markets. Financ Lett 2(6):8\u201316","journal-title":"Financ Lett"},{"key":"160_CR8","doi-asserted-by":"crossref","unstructured":"Brechmann E (2013) Hierarchical Kendall copulas: properties and inference. Can J Stat (to appear)","DOI":"10.1002\/cjs.11204"},{"issue":"5","key":"160_CR9","doi-asserted-by":"crossref","first-page":"3846","DOI":"10.1016\/j.eswa.2009.11.034","volume":"37","author":"J Brida","year":"2010","unstructured":"Brida J, Adri\u00e1n-Risso W (2010) Hierarchical structure of the German stock market. Expert Syst Appl 37(5):3846\u20133852","journal-title":"Expert Syst Appl"},{"key":"160_CR10","doi-asserted-by":"crossref","unstructured":"Caiado J, Crato N (2010) Identifying common dynamic features in stock returns. Quant Financ 10(7): 797\u2013807","DOI":"10.1080\/14697680903567152"},{"issue":"1\u20132","key":"160_CR11","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1016\/j.jeconom.2005.07.027","volume":"135","author":"X Chen","year":"2006","unstructured":"Chen X, Fan Y (2006) Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. J Econom 135(1\u20132):125\u2013154","journal-title":"J Econom"},{"key":"160_CR12","doi-asserted-by":"crossref","unstructured":"Cherubini U, Mulinacci S, Gobbi F, Romagnoli S (2012) Dynamic Copula methods in finance. Wiley finance series, Wiley, Chichester","DOI":"10.1002\/9781118467404"},{"key":"160_CR13","doi-asserted-by":"crossref","unstructured":"Corduas M, Piccolo D (2008) Time series clustering and classification by the autoregressive metric. Comput Statist Data Anal 52(4):1860\u20131872","DOI":"10.1016\/j.csda.2007.06.001"},{"issue":"4","key":"160_CR14","doi-asserted-by":"crossref","first-page":"497","DOI":"10.1007\/s10260-010-0142-z","volume":"19","author":"C Croux","year":"2010","unstructured":"Croux C, Dehon C (2010) Influence functions of the Spearman and Kendall correlation measures. Stat Methods Appl 19(4):497\u2013515","journal-title":"Stat Methods Appl"},{"key":"160_CR15","doi-asserted-by":"crossref","unstructured":"Czado C (2010) Pair-copula constructions of multivariate copulas. In: Jaworski P, Durante F, H\u00e4rdle W, Rychlik T (eds) Copula theory and its applications, vol 198, Lecture notes in statistics\u2014proceedings. Springer, Berlin, pp 93\u2013109","DOI":"10.1007\/978-3-642-12465-5_4"},{"issue":"2","key":"160_CR16","doi-asserted-by":"crossref","first-page":"227","DOI":"10.1007\/s10260-012-0214-3","volume":"22","author":"L Angelis De","year":"2013","unstructured":"De Angelis L (2013) Latent class models for financial data analysis: some statistical developments. Stat Methods Appl 22(2):227\u2013242","journal-title":"Stat Methods Appl"},{"issue":"4","key":"160_CR17","doi-asserted-by":"crossref","first-page":"323","DOI":"10.1007\/s11634-011-0098-3","volume":"5","author":"G Luca De","year":"2011","unstructured":"De Luca G, Zuccolotto P (2011) A tail dependence-based dissimilarity measure for financial time series clustering. Adv Data Anal Classif 5(4):323\u2013340","journal-title":"Adv Data Anal Classif"},{"key":"160_CR18","doi-asserted-by":"crossref","unstructured":"De Luca G, Rivieccio G, Zuccolotto P (2010) Combining random forest and copula functions: a heuristic approach for selecting assets from a financial crisis perspective. Intell Sys Acc Financ Manage 17(2): 91\u2013109","DOI":"10.1002\/isaf.315"},{"key":"160_CR19","unstructured":"Dobri\u0107 J, Frahm G, Schmid F (2007) Dependence of stock returns in bull and bear markets. Discussion Papers in Statistics and Econometrics 9\/07, University of Cologne, Department for Economic and Social Statistics. http:\/\/ideas.repec.org\/p\/zbw\/ucdpse\/907.html"},{"issue":"4","key":"160_CR20","doi-asserted-by":"crossref","first-page":"319","DOI":"10.1002\/int.21578","volume":"28","author":"F Durante","year":"2013","unstructured":"Durante F, Foscolo E (2013) An analysis of the dependence among financial markets by spatial contagion. Int J Intell Syst 28(4):319\u2013331","journal-title":"Int J Intell Syst"},{"issue":"5","key":"160_CR21","doi-asserted-by":"crossref","first-page":"551","DOI":"10.1002\/asmb.799","volume":"26","author":"F Durante","year":"2010","unstructured":"Durante F, Jaworski P (2010) Spatial contagion between financial markets: a copula-based approach. Appl Stoch Models Bus Ind 26(5):551\u2013564","journal-title":"Appl Stoch Models Bus Ind"},{"key":"160_CR22","doi-asserted-by":"crossref","unstructured":"Durante F, Sempi C (2010) Copula theory: an introduction. In: Jaworki P, Durante F, H\u00e4rdle W, Rychlik T (eds) Copula theory and its applications, vol 198, Lecture notes in statistics\u2014proceedings, Springer, Berlin, pp 3\u201331","DOI":"10.1007\/978-3-642-12465-5_1"},{"key":"160_CR23","doi-asserted-by":"crossref","unstructured":"Durante F, Foscolo E, Sabo M (2013) A spatial contagion test for financial markets. In: Kruse R, Berthold M, Moewes C, Gil M, Grzegorzewski P, Hryniewicz O (eds) Synergies of soft computing and statistics for intelligent data analysis, vol 190, Advances in intelligent systems and computing, Springer, Berlin, pp 313\u2013320","DOI":"10.1007\/978-3-642-33042-1_34"},{"key":"160_CR24","doi-asserted-by":"crossref","unstructured":"Embrechts P, McNeil AJ, Straumann D (2002) Correlation and dependence in risk management: properties and pitfalls. In: Dempster M (ed) Risk management: value at risk and beyond. Cambridge University Press, Cambridge, pp 176\u2013223","DOI":"10.1017\/CBO9780511615337.008"},{"issue":"3","key":"160_CR25","doi-asserted-by":"crossref","first-page":"339","DOI":"10.1198\/073500102288618487","volume":"20","author":"R Engle","year":"2002","unstructured":"Engle R (2002) Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. J Bus Econ Statist 20(3):339\u2013350","journal-title":"J Bus Econ Statist"},{"key":"160_CR26","doi-asserted-by":"crossref","first-page":"169","DOI":"10.2307\/2529943","volume":"35","author":"BS Everitt","year":"1979","unstructured":"Everitt BS (1979) Unresolved problems in cluster analysis. Biometrics 35:169\u2013181","journal-title":"Biometrics"},{"issue":"5","key":"160_CR27","doi-asserted-by":"crossref","first-page":"2223","DOI":"10.1111\/0022-1082.00494","volume":"57","author":"KJ Forbes","year":"2002","unstructured":"Forbes KJ, Rigobon R (2002) No contagion, only interdependence: measuring stock market comovements. J Financ 57(5):2223\u20132261","journal-title":"J Financ"},{"issue":"4","key":"160_CR28","doi-asserted-by":"crossref","first-page":"347","DOI":"10.1061\/(ASCE)1084-0699(2007)12:4(347)","volume":"12","author":"C Genest","year":"2007","unstructured":"Genest C, Favre AC (2007) Everything you always wanted to know about copula modeling but were afraid to ask. J Hydrol Eng 12(4):347\u2013368","journal-title":"J Hydrol Eng"},{"issue":"5","key":"160_CR29","doi-asserted-by":"crossref","first-page":"1779","DOI":"10.1111\/j.1540-6261.1993.tb05128.x","volume":"48","author":"L Glosten","year":"1993","unstructured":"Glosten L, Jagannathan R, Runkle D (1993) On the relation between the expected value and the volatility of the nominal excess return on stocks. J Financ 48(5):1779\u20131801","journal-title":"J Financ"},{"key":"160_CR30","doi-asserted-by":"crossref","DOI":"10.1201\/9780367805302","volume-title":"Classification","author":"AD Gordon","year":"1999","unstructured":"Gordon AD (1999) Classification, 2nd edn. CRC, Boca Raton","edition":"2"},{"key":"160_CR31","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-642-17229-8","volume-title":"Applied multivariate statistical analysis","author":"W H\u00e4rdle","year":"2012","unstructured":"H\u00e4rdle W, Simar L (2012) Applied multivariate statistical analysis, 3rd edn. Springer, Berlin","edition":"3"},{"key":"160_CR32","doi-asserted-by":"crossref","first-page":"193","DOI":"10.1007\/BF01908075","volume":"2","author":"L Hubert","year":"1985","unstructured":"Hubert L, Arabie P (1985) Comparing partitions. J Classif 2:193\u2013218","journal-title":"J Classif"},{"key":"160_CR33","doi-asserted-by":"crossref","unstructured":"Jaworski P, Pitera M (2013) On spatial contagion and multivariate GARCH models. Appl Stoch Models Bus Ind (in press)","DOI":"10.1002\/asmb.1977"},{"key":"160_CR34","doi-asserted-by":"crossref","unstructured":"Jaworski P, Durante F, H\u00e4rdle WK, Rychlik T (eds) (2010) Copula theory and its applications. Lecture notes in statistics proceedings, vol 198. Springer, Berlin","DOI":"10.1007\/978-3-642-12465-5"},{"key":"160_CR35","doi-asserted-by":"crossref","unstructured":"Jaworski P, Durante F, H\u00e4rdle WK (eds) (2013) Copulae in mathematical and quantitative finance. Lecture notes in statistics, proceedings, vol 213. Springer, Berlin","DOI":"10.1007\/978-3-642-35407-6"},{"key":"160_CR36","doi-asserted-by":"crossref","unstructured":"Joe H (1997) Multivariate models and dependence concepts, vol 73, Monographs on statistics and applied probability. Chapman & Hall, London","DOI":"10.1201\/b13150"},{"issue":"5","key":"160_CR37","doi-asserted-by":"crossref","first-page":"827","DOI":"10.1016\/j.jimonfin.2006.04.007","volume":"25","author":"E Jondeau","year":"2006","unstructured":"Jondeau E, Rockinger M (2006) The copula-GARCH model of conditional dependencies: an international stock market application. J Int Money Financ 25(5):827\u2013853","journal-title":"J Int Money Financ"},{"key":"160_CR38","doi-asserted-by":"crossref","unstructured":"Kaufman L, Rousseeuw P (1990) Finding groups in data. An introduction to cluster analysis. Wiley series in probability and mathematical statistics: applied probability and statisticsWiley, New York","DOI":"10.1002\/9780470316801"},{"issue":"11","key":"160_CR39","doi-asserted-by":"crossref","first-page":"1857","DOI":"10.1016\/j.patcog.2005.01.025","volume":"38","author":"T Liao","year":"2005","unstructured":"Liao T (2005) Clustering of time series data\u2014a survey. Pattern Recogn 38(11):1857\u20131874","journal-title":"Pattern Recogn"},{"issue":"2","key":"160_CR40","doi-asserted-by":"crossref","first-page":"649","DOI":"10.1111\/0022-1082.00340","volume":"56","author":"F Longin","year":"2001","unstructured":"Longin F, Solnik B (2001) Extreme correlation of international equity markets. J Financ 56(2):649\u2013676","journal-title":"J Financ"},{"key":"160_CR41","volume-title":"Extreme financial risks","author":"Y Malevergne","year":"2006","unstructured":"Malevergne Y, Sornette D (2006) Extreme financial risks. Springer, Berlin"},{"issue":"1","key":"160_CR42","doi-asserted-by":"crossref","first-page":"193","DOI":"10.1007\/s100510050929","volume":"11","author":"R Mantegna","year":"1999","unstructured":"Mantegna R (1999) Hierarchical structure in financial markets. Euro Phys J B 11(1):193\u2013197","journal-title":"Euro Phys J B"},{"key":"160_CR43","unstructured":"McNeil AJ, Frey R, Embrechts P (2005) Quantitative risk management. Concepts, techniques and tools. Princeton series in finance, Princeton University Press, Princeton"},{"key":"160_CR44","doi-asserted-by":"crossref","first-page":"159","DOI":"10.1007\/BF02294245","volume":"50","author":"GW Milligan","year":"1985","unstructured":"Milligan GW, Cooper MC (1985) An examination of procedures for determining the number of clusters in a data set. Psychometrica 50:159\u2013179","journal-title":"Psychometrica"},{"key":"160_CR45","unstructured":"Nelsen RB (2006) An introduction to copulas, 2nd edn. Springer series in statistics. Springer, New York"},{"issue":"10","key":"160_CR46","doi-asserted-by":"crossref","first-page":"4685","DOI":"10.1016\/j.csda.2008.03.020","volume":"52","author":"E Otranto","year":"2008","unstructured":"Otranto E (2008) Clustering heteroskedastic time series by model-based procedures. Comput Statist Data Anal 52(10):4685\u20134698","journal-title":"Comput Statist Data Anal"},{"issue":"2","key":"160_CR47","doi-asserted-by":"crossref","first-page":"353","DOI":"10.1016\/j.csda.2003.11.009","volume":"47","author":"F Pattarin","year":"2004","unstructured":"Pattarin F, Paterlini S, Minerva T (2004) Clustering financial time series: an application to mutual funds style analysis. Comput Statist Data Anal 47(2):353\u2013372","journal-title":"Comput Statist Data Anal"},{"key":"160_CR48","doi-asserted-by":"crossref","first-page":"4","DOI":"10.1016\/j.jmva.2012.02.021","volume":"110","author":"A Patton","year":"2012","unstructured":"Patton A (2012) A review of copula models for economic time series. J Multivariate Anal 110:4\u201318","journal-title":"J Multivariate Anal"},{"key":"160_CR49","doi-asserted-by":"crossref","unstructured":"Patton A (2013) Copula methods for forecasting multivariate time series. In: Handbook of economic forecasting II, Elsevier, Amsterdam (to appear)","DOI":"10.1016\/B978-0-444-62731-5.00016-6"},{"issue":"2","key":"160_CR50","doi-asserted-by":"crossref","first-page":"153","DOI":"10.1111\/j.1467-9892.1990.tb00048.x","volume":"11","author":"D Piccolo","year":"1990","unstructured":"Piccolo D (1990) A distance measure for classifying ARIMA models. J Time Ser Anal 11(2):153\u2013164","journal-title":"J Time Ser Anal"},{"issue":"336","key":"160_CR51","doi-asserted-by":"crossref","first-page":"846","DOI":"10.1080\/01621459.1971.10482356","volume":"66","author":"WM Rand","year":"1971","unstructured":"Rand WM (1971) Objective criteria for the evaluation of clustering methods. J Am Statist Assoc 66(336):846\u2013850","journal-title":"J Am Statist Assoc"},{"key":"160_CR52","doi-asserted-by":"crossref","unstructured":"Remillard B (2010) Goodness-of-fit tests for copulas of multivariate time series. SSRN eLibrary URL: http:\/\/ssrn.com\/abstract=1729982","DOI":"10.2139\/ssrn.1729982"},{"issue":"6","key":"160_CR53","doi-asserted-by":"crossref","first-page":"1123","DOI":"10.1016\/j.jmva.2006.05.005","volume":"98","author":"F Schmid","year":"2007","unstructured":"Schmid F, Schmidt R (2007) Multivariate conditional versions of Spearman\u2019s rho and related measures of tail dependence. J Multivariate Anal 98(6):1123\u20131140","journal-title":"J Multivariate Anal"},{"key":"160_CR54","doi-asserted-by":"crossref","unstructured":"Schmid F, Schmidt R, Blumentritt T, Gaisser S, Ruppert M (2010) Copula-based measures of multivariate association. In: Jaworski P, Durante F, H\u00e4rdle W, Rychlik T (eds) Copula theory and its applications, vol 198. Lecture notes in statistics, Proceedings, Springer, Berlin, pp 209\u2013236","DOI":"10.1007\/978-3-642-12465-5_10"},{"key":"160_CR55","volume-title":"Numerical taxonomy","author":"PHA Sneath","year":"1973","unstructured":"Sneath PHA, Sokal RR (1973) Numerical taxonomy. Freeman, San Francisco"},{"issue":"1","key":"160_CR56","doi-asserted-by":"crossref","first-page":"235","DOI":"10.1016\/j.jedc.2007.01.034","volume":"32","author":"V Tola","year":"2008","unstructured":"Tola V, Lillo F, Gallegati M, Mantegna R (2008) Cluster analysis for portfolio optimization. J Econom Dyn Control 32(1):235\u2013258","journal-title":"J Econom Dyn Control"},{"key":"160_CR57","doi-asserted-by":"crossref","first-page":"6","DOI":"10.1090\/S0002-9904-1948-08936-4","volume":"54","author":"SS Wilks","year":"1948","unstructured":"Wilks SS (1948) Order statistics. Bull Am Math Soc 54:6\u201350","journal-title":"Bull Am Math Soc"}],"container-title":["Advances in Data Analysis and Classification"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11634-013-0160-4.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s11634-013-0160-4\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11634-013-0160-4","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,3,20]],"date-time":"2022-03-20T12:51:20Z","timestamp":1647780680000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s11634-013-0160-4"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2013,12,22]]},"references-count":57,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2014,12]]}},"alternative-id":["160"],"URL":"https:\/\/doi.org\/10.1007\/s11634-013-0160-4","relation":{},"ISSN":["1862-5347","1862-5355"],"issn-type":[{"value":"1862-5347","type":"print"},{"value":"1862-5355","type":"electronic"}],"subject":[],"published":{"date-parts":[[2013,12,22]]}}}