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High-dimensionality in statistics and portfolio optimization

Glombek, Konstantin - 2012 - 1. Aufl.

Persistent link: https://www.econbiz.de/10013360879

Random matrix theory and cross-correlations of stock prices

Rosenow, B.; Gopikrishnan, P.; Plerou, V.; Stanley, H. E. - In: Empirical science of financial fluctuations : the …, (pp. [27]-34). 2002

Persistent link: https://www.econbiz.de/10001679223

Dynamics of correlations in the stock market

Drożdż, S.; Grümmer, F.; Ruf, François; Speth, J. - In: Empirical science of financial fluctuations : the …, (pp. [41]-50). 2002

Persistent link: https://www.econbiz.de/10001679227

Structural constant conditional correlation

Weber, Enzo (contributor) - 2008

constant conditional correlation (SCCC). In this, common driving forces can be modelled in addition to simultaneous …

Persistent link: https://www.econbiz.de/10003636117

A long-run pure variance common features model for the common volatilities of the Dow Jones

Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42

Persistent link: https://www.econbiz.de/10003320235

Structural dynamic conditional correlation

Weber, Enzo - 2008

structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several … transmission effects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …