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Keywords: Dynamic time warping
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Journal Articles
Analyzing precious metals returns using a Kalman smoother approach
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2019) 36 (1): 89–111.
Published: 04 June 2019
... framework. Design/methodology/approach A brief co-integration test for the precious metals is conducted followed by a Kalman smoother approach to study the different sensitivities to the price changes of precious metals. A dynamic time warping (DTW) approach finally compares sensitivities for pairs...
