behavior of each component of total risk, in their correlation patterns and thus in their contribution to aggregate risk …

stochastic model. We apply BDS statistic, R/S Analysis, Correlation Dimension and Lyaponev Exponent as our tools for nonlinearity …

, Correlation Dimension and Lyapunov Exponent as our tools for nonlinearity and chaos testing.We find the presence of non linear …

from the European Energy Exchange (EEX) and give new insights into the intra–daily correlation structure of electricity day …

In theory, by trading options, market participants asses and set future volatilities that can be identified using the …

measures of correlation. The versatility of the method and its capability to obtain the most representative composite rank … also been found that rank ordering based on maximization of the sum of absolute values of the correlation coefficients of … solves the one problem, it gives rise to the other problem. The overall ranking of objects by maximin correlation principle …

The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility …. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily … nearly zero correlation for most assets tested, despite the many economic reasons for expecting the estimated correlation to …

correlation between stock prices and industrial production at the different time scales stemming from the multiresolution … decomposition of wavelet analysis. The results suggest that: i) the degree of correlation between stock returns and economic … intermediate scales the timing of the correlation pattern indicates that stock prices tend to lead economic activity. Our findings …

in correlation to the market implying that IFSIs volatility may be independent of the market due to assets that require …

the probability theory and the statistics theory application to accurately characterize the trends in the foreign …