Measuring rank correlation coefficients between financial time series : a GARCH-copula based sequence alignment algorithm
Yih-Wenn Laih
| Year of publication: |
2014
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|---|---|
| Authors: | Laih, Yih-wenn |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 232.2014, 2 (16.1.), p. 375-382
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| Subject: | Time series | Rank correlation | GARCH | Copula | Sequence alignment | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Ranking-Verfahren | Ranking method | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Algorithmus | Algorithm | Schätztheorie | Estimation theory |