Local normalization: Uncovering correlations in non-stationary financial time series
Year of publication: |
2010
|
---|---|
Authors: | Schäfer, Rudi ; Guhr, Thomas |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 389.2010, 18, p. 3856-3865
|
Publisher: |
Elsevier |
Subject: | Econophysics | Financial correlations | Non-stationarity | Time series analysis |
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