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A Clustering Algorithm for Financial Time Series Correlation Quickest Hub Discovery Mixing Time Evolution and Random Matrix Theory
Rodriguez Dominguez, Alejandro - 2022
correlation structures that geometrically represents solutions from asymptotic Random Matrix theory (RMT) consistently, and allows … tests, with information about previous evolution of correlation in time. We apply this solution to financial time series …
Persistent link: https://www.econbiz.de/10014084356
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Tyler's M-estimator, random matrix theory, and generalized elliptical distributions with applications to finance
Frahm, Gabriel (contributor); Jaekel, Uwe (contributor) - 2007
Persistent link: https://www.econbiz.de/10003449387
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An investigation of hypothetical variance-covariance matrix stress-testing
Rayer, Quintin - In: Journal of risk management in financial institutions 9 (2016) 3, pp. 264-288
Persistent link: https://www.econbiz.de/10011661846
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Submodular risk allocation
Ghamami, Samim; Glasserman, Paul - In: Management science : journal of the Institute for … 65 (2019) 10, pp. 4656-4675
Persistent link: https://www.econbiz.de/10012118107
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Modeling the segment interactions of Ukraine's financial market
Prymostka, Liudmyla; Krasnova, Iryna; Kulish, Ganna; … - In: Investment management and financial innovations 17 (2020) 2, pp. 101-112
Persistent link: https://www.econbiz.de/10012303088
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Incomplete asset markets and the cross-country consumption correlation puzzle
Kollmann, Robert - 1996
Persistent link: https://www.econbiz.de/10000943632
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International financial integration and risk sharing among countries : a production-based approach
Kim, H. Youn - In: Journal of the Japanese and international economies : … 31 (2014), pp. 16-35
Persistent link: https://www.econbiz.de/10010341428
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Determinants of asymmetric return comovements of gold and other financial assets
Poshakwale, Sunil S.; Mandal, Anandadeep - In: International review of financial analysis 47 (2016), pp. 229-242
Persistent link: https://www.econbiz.de/10011624131
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Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach
Sim, Nicholas - In: International review of financial analysis 48 (2016), pp. 31-45
Persistent link: https://www.econbiz.de/10011624367
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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871