Financial Applications of the Mahalanobis Distance

We describe existing and potential financial applications of the Mahalanobis distance. After a short motivation and a discussion of important properties of this multivariate distance measure, we classify its applications in finance according to the source and nature of its input parameters. Examples illustrate the usefulness of these applications of the Mahalanobis distance for financial market participants

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Year of publication:	2015
Authors:	Stöckl, Sebastian
Other Persons:	Hanke, Michael (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Applied Economics and Finance, 1(2), p. 71-77 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2014 erstellt Volltext nicht verfügbar
Other identifiers:	10.2139/ssrn.2312087 [DOI]
Classification:	c46 ; C52 - Model Evaluation and Testing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013035208