, insbesondere der Zeitreihenanalyse liegt. Das Konzept besteht darin, sämtliche wiederkehrenden Aufgaben mit Hilfe von Java …

the first part where a new bivariate correlation estimator is introduced. This estimator is shown to be more flexible than … the first part where a new bivariate correlation estimator is introduced. This estimator is shown to be more flexible than …

default correlations is implemented. A Monte-Carlosimulation tool is used to examine how this 'correlation effect' varieswith …

for the returns to the Vanilla contract, translated into dollars, and the dollar/Yen returns. This correlation is …

, captured by the correlation matrix, and a higher order component. When these higher order terms are characterised by increased … correlation in bear or bull markets, the effectiveness of diversification strategies is reduced. To the extent that an investor is … that the joint return distribution may be described by an infinite number of higher order co-moments. Correlation (and …