This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the … imposed when the ratio of volatilities is time-varying. Simulations demonstrate that estimated covariance matrices become more … indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky …

. Correlation analysis of complex random variables -- Chapter 4. Multiple Complex Linear Regression -- Chapter 5. Assumptions of … model formulation, estimation techniques, and correlation analysis, supported by examples in R. This comprehensive guide is …

estimation. Furthermore, by extending the notion of distance correlation of Szekely, Rizzo and Bakirov (2007) to locally … stationary processes, we are able to provide asymptotic theory for local empirical distance correlations. Finally, we provide a … time of log returns of German stock prices via local empirical distance correlations. …

before. We show, for the one-dimensional case, the equivalence of the set correlation functions and the extremal coefficient …