Time series clustering testing of memory in time series and quantifying dependence in volatility of financial time series using complex network theory

Abstract

The four essays in this dissertation are grounded in the central and interconnected concepts of multifractality and long-range dependence observed in financial time series. We focus our attention particularly to the dependence behavior of a suitable measure of volatility in financial asset returns. Therefore, the implications of our work are mostly in the area of financial risk management. newline