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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

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

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

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

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

Are correlations constant over time? : application of the CC-TRIGt-test to return series from different asset classes

Fischer, Matthias (contributor) - 2007

A new test for constant correlation is proposed. Based on the bivariate Student-t distribution, this test is derived as … & Rouwenhorst, 2005) specify the unknown correlations as piecewise constant, our model-setup for the correlation coefficient is … correlation ; trigonometric functions …

Persistent link: https://www.econbiz.de/10003633489