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Interest Rate Manipulation Detection using Time Series Clustering Approach
Interest Rate Manipulation Detection Series Clustering Approach
2012/9/14
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, t...
Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach
Time Series Covariance Estimation Regularization Sparsity Thresholding Semiparametrics Graphical Model Variable Clustering
2011/7/5
To better understand the spatial structure of large panels of economic and nancial time
series and provide a guideline for constructing semiparametric models, this paper rst consid-
ers estimating...