Analyzing structural changes using clustering techniques

International Journal of Innovative Computing, Information and Control

Volumn 4, Issue 5, 2008, Pages 1195-1201

  Huarng, Kun Huang ^a   Yu, Tiffany Hui Kuang ^a   Kao, Tzu Ting ^a  

^a FENG CHIA UNIVERSITY   (Taiwan)

Author keywords

K means; Stock index; Transient structural changes

Indexed keywords

EID: 48249100062     PISSN: 13494198     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (24)

1. M. R. Agosin, Financial Crises in 'Successful' Emerging Economies, Chapter 2, R. French-Davis, Brookings Institution Press, 2001.
2. M. S. B. Aïssa and J. Jouini, Structural breaks in the U.S. inflation process, Applied Economics Letters, vol.10, pp.633-636, 2003.
3. P. Arestis and I. B. F. Mariscal, Unit roots and structural breaks in OECD unemployment, Economics Letters, vol.65, no.2, pp.149-156, 1999.
4. C. Brooks, Introductory Econometrics for Finance, Cambridge University Press, 2002.
5. G. Chen, Y. K. Choi and Y. Zhou, Nonparametric estimation of structural change points in volatility models for time series, Journal of Econometrics, vol.126, no.1, pp.79-114, 2005.
6. C. S. Chiang, S. C. Chu, Y. C. Hsin, and M. H. Wang, Genetic distance measure for K-modes algorithm, International Journal of Innovative Computing, Information and Control, vol.2, no.1, pp.33-40, 2006.
7. B. E. Hansen, The new econometrics of structural change: Dating breaks in U.S. labor productivity, Journal of Economic Perspectives, vol.15, no.4, pp.117-128, 2001.
8. J. A. Hartigan, Clustering Algorithms, New York: John Wiley & Sons, 1975.
9. J. Jouini and M. Boutahar, Evidence on structural changes in U.S. time series, Economic Modelling, vol.22, pp.391-422, 2005.
10. K. Kumar and B. Wu, Detection of change points in time series analysis with fuzzy statistics, International Journal of Systems Science, vol.32, no.9, pp.1185-1192, 2001.
11. S. B. Lee and K. Y. Ohk, Stock index futures listing and structural change in time-varying volatility: Introduction, The Journal of Futures Markets, vol.12, no.5, pp.493-509, 1992.
12. Mainland Affairs Information and Research Center, Mainland Affairs Council, Taiwan, www.mac.gov.tw/big5/rpir/2nd1_1.htm, 1999.
13. N. G. Mankiw, Macroeconomics, Fifth edition, New York: Worth Publishers, pp.469, 2003.
14. M. Mosebach and M. Najand, Are the structural changes in mutual funds investing driving the U.S. stock market to its current levels?, Journal of Financial Research, vol.22, no.3, pp.317-238, 1999.
15. A. Nasseh and J. Strauss, Stock price and domestic and international macroeconomic activity: A cointegration. approach, The Quarterly Review of Economics and Finance, vol.40, pp.229-245, 2000.
16. W. Pedrycz, Collaborative and knowledge-based fuzzy clustering, International Journal of Innovative Computing, Information and Control, vol.3, no.1, pp.1-12, 2007.
17. H. Ralambondrainy, A conceptual version of the K-means algorithm, Pattern Recognition Letters, vol.16, pp.1147-1157, 1995.
18. D. E. Rapach, Macro shocks and real stock prices, Journal of Economics and Business, vol.53, pp.5-26, 2001.
19. O. M. San, V. Huynh and Y. Nakamori, An alternative extension of the K-means algorithm for clustering categorical data, Int. J. Appl. Math. Comput. Sci., vol.14, no.2, pp.241-247, 2004.
20. J. Tian, L. Zhu, S. Zhang and L. Liu, Improvement and parallelism of K-means clustering algorithm, Tsinghua Science and Technology, vol.10, no.3, pp.277-281, 2005.
21. B. Wu and M. Chen, Use fuzzy statistical methods in change periods detection, Applied Mathematics and Computation, vol.99, pp.241-254, 1999.
22. C. C. Wu, An analysis of Taiwan's economy and across the Strait trade, Forum of World Economy and Politics, vol.1, 2004.
23. C. C. Wu, http://www.ios.sinica.edu.tw/pages/seminar/Unemploy/paper.htm, 2003.
24. H. Y. Yau and C. C. Nieh, Interrelationships among stock prices in Taiwan and Japan and the NTD/Yen exchange rate, Journal of Asian Economics, vol.17, pp.535-552, 2006.