regression on wavelet coefficients. The concept of wavelet local multiple correlation is used to produce one single set of multi …-scale correlations along time, in contrast with the large number of wavelet correlation maps that need to be compared when using standard … century. It is shown how the evolution of the correlation structure in these markets has been far from homogeneous both along …

(over which the correlation integral is calculated) are specified. For these ε-ranges new critical values for various …

The nearest correlation matrix problem is to find a valid (positive semidefinite) correlation matrix, R(m,m), that is … nearest to a given invalid (non-positive semidefinite) or pseudo-correlation matrix, Q(m,m); m larger than 2. In the …

Q. The matrix R is positive definite and a valid correlation matrix. The matrix Q may appear to be a correlation matrix …

measures of correlation. The versatility of the method and its capability to obtain the most representative composite rank … also been found that rank ordering based on maximization of the sum of absolute values of the correlation coefficients of … solves the one problem, it gives rise to the other problem. The overall ranking of objects by maximin correlation principle …

The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible …