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    Article

    Comparison of empirical and shrinkage correlation algorithm for clustering methods in the futures market

    The correlation structure of the futures market obtained using daily data from 2009 to 2020 has been investigated to show how different sectors, such as energy or agriculture, produce a hierarchical clustering...

    Andrea Di Iura in SN Business & Economics (2022)

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    Article

    A Bayesian analysis of gain-loss asymmetry

    We perform a quantitative analysis of the gain/loss asymmetry for financial time series by using a Bayesian approach. In particular, we focus on some selected indices and analyse the statistical significance o...

    Andrea Di Iura, Giulia Terenzi in SN Business & Economics (2022)