The article "Identifying common dynamic features in stock returns", by Nuno Crato, full professor at ISEG and researcher at CEMAPRE, and Jorge Caiado, researcher at CEMAPRE, was accepted for publication in the journal Quantitative Finance (2010).
In this article, the authors introduce distance measures based on volatility and spectrum to classify and group financial series. As an economic application, the proposed methods were used to investigate the dynamic dependence structure of the Dow Jones Industrial Average (DJIA) stocks.
