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  • Search: subject:"correlation matrix"
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Year of publication
Subject
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correlation matrix 45 Korrelation 42 Correlation 41 Correlation matrix 37 Theorie 20 Theory 19 Correlation Matrix 16 Estimation theory 16 Linear algebra 16 Lineare Algebra 16 Schätztheorie 16 Portfolio selection 14 Portfolio-Management 14 Random matrix theory 13 Faktorenanalyse 7 Volatility 6 Volatilität 6 Factor analysis 5 Forecasting model 5 Principal component analysis 5 Principal components analysis 5 Prognoseverfahren 5 Schoenmakers-Coffey matrix 5 Sparsity 5 majorization 5 oscillation matrix 5 total positivity 5 Hauptkomponentenanalyse 4 Human Development Index 4 Human Development Report 4 Kronecker Product 4 LIBOR market model 4 Portfolio Choice 4 Statistical theory 4 Statistische Methodenlehre 4 Time series analysis 4 United Nations Development Program 4 Zeitreihenanalyse 4 clustering 4 computer program 4
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Online availability
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Undetermined 64 Free 56 CC license 4
Type of publication
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Article 85 Book / Working Paper 47
Type of publication (narrower categories)
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Article in journal 37 Aufsatz in Zeitschrift 37 Working Paper 14 Graue Literatur 10 Non-commercial literature 10 Arbeitspapier 8 Article 1 Aufsatz im Buch 1 Aufsatzsammlung 1 Book section 1 Hochschulschrift 1 Lehrbuch 1 Research Report 1 research-article 1
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Language
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Undetermined 69 English 61 German 2
Author
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Tang, Haihan 7 Hafner, Christian M. 6 Linton, Oliver 5 Lord, Roger 5 Klasen, Stephan 4 Mishra, SK 4 Nguefack-Tsague, Georges 4 Pelsser, Antoon 4 Pietersz, Raoul 4 Zucchini, Walter 4 Bouev, Maxim 3 Crane, M. 3 Gomez, David Matesanz 3 Kim, Kyungsik 3 Ortega, Guillermo J. 3 Torgler, Benno 3 Aggarwal, Rashmi 2 Ahn, Sanghyun 2 Burda, Zdzisław 2 Cirillo, Pasquale 2 Conlon, T. 2 Drożdż, S. 2 Eom, Cheoljun 2 Farnia, Luca 2 Gao, Jiti 2 Han, Xiao 2 Hansen, Peter Reinhard 2 Jiang, Binyan 2 Jurkiewicz, Jerzy 2 Knobloch, Ralf 2 Kwapień, J. 2 Lim, Gyuchang 2 Linton, Oliver Bruce 2 Manaev, Ilia 2 Marica, Vasile-George 2 Minabutdinov, Aleksei 2 Nie, Chun-Xiao 2 Numpacharoen, Kawee 2 Oosterlee, Cornelis Willebrordus 2 Pan, Guangming 2
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 8 Department of Economics, European University at St. Petersburg 2 EconWPA 2 Center for Research in Economics, Management and the Arts (CREMA) 1 Courant Research Centre PEG 1 Departamento de Estadistica, Universidad Carlos III de Madrid 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics and Finance, College of Business and Economics 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Graduate School of Economics, Osaka University 1 National Research University Higher School of Economics 1 School of Economics and Finance, Business School 1 Tinbergen Institute 1 Tinbergen Instituut 1 Xarxa de Referència en Economia Aplicada (XREAP) 1 eSocialSciences 1
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Published in...
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Physica A: Statistical Mechanics and its Applications 16 MPRA Paper 8 Journal of econometrics 4 Psychometrika 4 Applied Mathematical Finance 3 Journal of Multivariate Analysis 3 Journal of mathematical finance 3 Statistics & Probability Letters 3 Annals of the Institute of Statistical Mathematics 2 CEMMAP working papers / Centre for Microdata Methods and Practice 2 Computational economics 2 EUSP Deparment of Economics Working Paper Series 2 Economics letters 2 Finance 2 Forschung am ivwKöln 2 Risks : open access journal 2 Tinbergen Institute Discussion Papers 2 cemmap working paper 2 Acta oeconomica : periodical of the Hungarian Academy of Sciences 1 Analele Universitătii Dunărea de Jos Galaţi 1 Applied mathematical finance 1 Asian Economic and Financial Review 1 Athens journal of business & economics : AJBE 1 CORE discussion papers : DP 1 CREMA Working Paper 1 CREMA Working Paper Series 1 Cambridge working papers in economics 1 Computational Optimization and Applications 1 Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 1 Discussion Papers 1 Discussion Papers in Economics and Business 1 Discussion paper / Tinbergen Institute 1 Discussion papers / Courant Research Centre "Poverty, Equity and Growth in Developing and Transition Countries: Statistical Methods and Empirical Analysis" 1 ERIM Report Series Research in Management 1 Econometric Institute Report 1 Econometric Institute Research Papers 1 Econometric Reviews 1 Financial Studies 1 Financial studies 1 HSE Working papers 1
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Source
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RePEc 71 ECONIS (ZBW) 49 EconStor 8 BASE 3 Other ZBW resources 1
Showing 1 - 10 of 132
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Efficient positive semidefinite matrix approximation by iterative optimisations and gradient descent method
Asimit, Vali; Wang, Runshi; Zhou, Feng; Rui, Zhu - In: Risks : open access journal 13 (2025) 2, pp. 1-25
the nearest valid correlation matrix that is positive semidefinite (PSD). The first method converts the PSDisation problem …
Persistent link: https://www.econbiz.de/10015333751
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Aggregation in einem Risikoportfolio mit Abhängigkeitsstruktur
Knobloch, Ralf - 2024
Unternehmen sehen sich üblicherweise den unterschiedlichsten operativen und strategischen Risiken ausgesetzt. Daher ist das Risikoportfolio eines Unternehmens aus Sicht des betriebswirtschaftlichen Risikomanagement i.d.R. sehr inhomogen bezüglich der verwendeten Verteilungsmodelle. Neben der...
Persistent link: https://www.econbiz.de/10014483918
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Quantum majorization in market crash prediction
Montana, J Rhet; Arias, Luis A. Souto; Cirillo, Pasquale; … - In: Risks : open access journal 12 (2024) 12, pp. 1-18
We introduce the Quantum Alarm System, a novel framework that combines the informational advantages of quantum majorization applied to tail pseudo-correlation matrices with the learning capabilities of a reinforced urn process, to predict financial turmoil and market crashes. This integration...
Persistent link: https://www.econbiz.de/10015328753
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The spherical parametrisation for correlation matrices and its computational advantages
Lucchetti, Riccardo; Pedini, Luca - In: Computational economics 64 (2024) 2, pp. 1023-1046
Persistent link: https://www.econbiz.de/10015078073
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Cover Image
Aggregation in einem Risikoportfolio mit Abhängigkeitsstruktur
Knobloch, Ralf - 2024
Unternehmen sehen sich üblicherweise den unterschiedlichsten operativen und strategischen Risiken ausgesetzt. Daher ist das Risikoportfolio eines Unternehmens aus Sicht des betriebswirtschaftlichen Risikomanagement i.d.R. sehr inhomogen bezüglich der verwendeten Verteilungsmodelle. Neben der...
Persistent link: https://www.econbiz.de/10014480944
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Risk assessment method of power grid construction project investment based on grey relational analysis
Chen, Fulei; Sun, Mingzhu; Shen, Lei - In: International journal of information technology and … 23 (2024) 3/4, pp. 244-260
Persistent link: https://www.econbiz.de/10015064862
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High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times
Chen, Dachuan - In: Journal of econometrics 240 (2024) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10015075056
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A new method for generating random correlation matrices
Archakov, Ilya; Hansen, Peter Reinhard; Luo, Yiyao - In: The econometrics journal 27 (2024) 2, pp. 188-212
Persistent link: https://www.econbiz.de/10015046370
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Modeling volatility risk in equity options market : a statistical approach
Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023
Persistent link: https://www.econbiz.de/10014366655
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Characterizing correlation matrices that admit a clustered factor representation
Tong, Chen; Hansen, Peter Reinhard - In: Economics letters 233 (2023), pp. 1-4
Persistent link: https://www.econbiz.de/10014506906
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