Identification of risk clusters
This practical contains some theory and practical application of cluster analysis.
We discuss k-means clustering as well as hierarchical clustering.
Applications are done on stock return cluster identification, using distance matrices in an agglomerative clustering framework.
For attribution, please cite this work as
Katzke (2025, Sept. 29). Financial Econometrics Course: Clustering Analysis. Retrieved from https://www.fmx.nfkatzke.com/posts/2020-08-17-practical-5/
BibTeX citation
@misc{katzke2025clustering,
author = {Katzke, N.F.},
title = {Financial Econometrics Course: Clustering Analysis},
url = {https://www.fmx.nfkatzke.com/posts/2020-08-17-practical-5/},
year = {2025}
}