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Rank reduction of correlation matrics by majorization
Pietersz, Raoul (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001989947
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The Gaussian rank correlation estimator : robustness properties
Boudt, Kris; Cornelissen, Jonathan; Croux, Christophe - 2010
Persistent link: https://www.econbiz.de/10008989132
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Canonical correlation statistics for testing the cointegration rank in a reversed order
Breitung, Jörg - 1998
In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r …
Persistent link: https://www.econbiz.de/10009578561
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Robust and sparse estimation of the inverse covariance matrix using rank correlation measures
Croux, Christophe; Öllerer, Viktoria - 2015
Persistent link: https://www.econbiz.de/10011290636
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Inference on the maximal rank of time-varying covariance matrices using high-frequency data
Reiß, Markus; Winkelmann, Lars - 2021
We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i=n), i = 0; : : : ;n, we test the null hypothesis rank (Σ(t)) ≤ r for all t against local alternatives where the average (r + 1)st...
Persistent link: https://www.econbiz.de/10012655380
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020
Persistent link: https://www.econbiz.de/10012308723
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Measurement error and rank correlations
Kitagawa, Toru; Nybom, Martin; Stuhler, Jan - 2018 - This version: April 2018
correlation coeffcients (Spearman's ρ and Kendall's τ). We first investigate a set of suffcient conditions under which measurement …
Persistent link: https://www.econbiz.de/10011816944
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020
Persistent link: https://www.econbiz.de/10012232995
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Derivatives, the shape of international capital flows and the virtues of prudential regulation
Dodd, Randall - 2002
Persistent link: https://www.econbiz.de/10001712129
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Puttable and Extendible Bonds : Developing Interest Rate Derivatives for Emerging Markets
Neftci, Salih N. - 2003
interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall … gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative …
Persistent link: https://www.econbiz.de/10014404000