A Method is offered that makes it possible to apply generalized canonical correlations analysis (CANCOR) to two or more matrices of different row and column order. The new method optimizes the generalized canonical correlation analysis objective by considering only the observed values. This is...

Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an econometrics explanation and on the other...

We provide a robustness check of the US Phillips curve in the frequency domain. We design frequency-specific coeffcients of correlation (FSCC) and regression (FSCR), based on our frequency-specific data extraction procedure. Being real-valued, signed and normalised, the FSCC is superior to...

Orthant probabilities applied in a two-dimensional framework are used to derive quadrant-conditional financial asset return correlations which fully capture both linear and non-linear components of co-variability. We investigate the potential for employing quadrant-conditional correlations in...

We derive conditional means from partial moment quadrants of the joint distribution. Restricting quadrants enables scenario analysis without the need for an underlying correlation assumption. Weighting of these conditional means permits more generalized scenarios with embedded dependence...