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Comparison of nancial time series using a TARCH-based distance

This paper proposes an asymmetric-volatility based method for cluster analysis of stock returns. Using the information about the estimated parameters in the TARCH equation, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree (or dendrogram) and the computed principal coordinates. We employ these techniques to investigate the similarities and dissimilarities between the "blue-chip" stocks used to compute the Dow Jones Industrial Average (DJIA) index.