Search Results - subject:"Correlation structure"

A dynamic Cholesky data imputation method for correlation structure consistency"

Atkins, Philip J.; Cummins, Mark - In: Applied economics letters 29 (2022) 4, pp. 311-315

Persistent link: https://www.econbiz.de/10012803529

Portfolio optimization with sparse multivariate modeling

Procacci, Pier Francesco; Aste, Tomaso - In: The journal of asset management : a major new, … 23 (2022) 6, pp. 445-465

Persistent link: https://www.econbiz.de/10013392110

Change‐point detection in the conditional correlation structure of multivariate volatility models

Barassi, Marco R.; Horváth, Lajos; Zhao, Yuqian - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 340-349

Persistent link: https://www.econbiz.de/10012262479

A spectral model of turnover reduction

Kakushadze, Zura - In: Econometrics 3 (2015) 3, pp. 577-589

We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest...

Persistent link: https://www.econbiz.de/10011755294

A spectral model of turnover reduction

Kakushadze, Zura - In: Econometrics : open access journal 3 (2015) 3, pp. 577-589

Persistent link: https://www.econbiz.de/10011410628

Forecasting market states

Procacci, Pier Francesco; Aste, Tomaso - In: Quantitative finance 19 (2019) 9, pp. 1491-1498

Persistent link: https://www.econbiz.de/10012194800

Correlation structure and evolution of world stock markets : evidence from Pearson and partial correlation-based networks

Wang, Gang-Jin; Chi, Xie; Stanley, H. Eugene - In: Computational economics 51 (2018) 3, pp. 607-635

Persistent link: https://www.econbiz.de/10011963715

Modified DFA and DCCA approach for quantifying the multiscale correlation structure of financial markets

Yin, Yi; Shang, Pengjian - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 24, pp. 6442-6457

We use multiscale detrended fluctuation analysis (MSDFA) and multiscale detrended cross-correlation analysis (MSDCCA) to investigate auto-correlation (AC) and cross-correlation (CC) in the US and Chinese stock markets during 1997–2012. The results show that US and Chinese stock indices differ...

Persistent link: https://www.econbiz.de/10010873342

The instability of the correlation structure of the S&P 500

Lyócsa, Štefan; Výrost, Tomáš; Baumöhl, Eduard - Volkswirtschaftliche Fakultät, … - 2011

Using weekly returns of S&P 500 constituents, we study the time-varying correlation structure during the period of 2006 … correlation structure tends to change significantly during the periods of high volatility and market downturns. …

Persistent link: https://www.econbiz.de/10009325633

An empirical study on the correlation structure of credit spreads based on the dynamic and pair copula functions

Luo, Changqing; Li, Mengzhen; Ouyang, Zisheng - In: China Finance Review International 6 (2016) 3, pp. 284-303

Purpose – The purpose of this paper is to study the correlation structure of the credit spreads. Design …/methodology/approach – The minimal spanning tree is used to find the risk center node and the basic correlation structure of the credit spreads …. The dynamic copula and pair copula models are applied to capture the dynamic and non-linear correlation structure …

Persistent link: https://www.econbiz.de/10014694670