employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …

We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component …

noise filtering procedure was applied first to an empirical correlation matrix and, second, to the matrix built from the … same time series deliberately contaminated with noise. The final, noise filtered correlation matrices, were practically the … measures that gave average distance between off-diagonal elements of correlation matrices obtained as a result of noise …

noise filtering procedure was applied first to an empirical correlation matrix and, second, to the same matrix deliberately … contaminated with noise. The final, noise filtered correlation matrices, were practically the same in both cases (by simple visual … between off-diagonal elements of correlation matrices obtained as a result of noise filtering of empirical correlation matrix …