A Method is offered that makes it possible to apply generalized canonical correlations analysis (CANCOR) to two or more matrices of different row and column order. The new method optimizes the generalized canonical correlation analysis objective by considering only the observed values. This is...

The nearest correlation matrix problem is to find a valid (positive semidefinite) correlation matrix, R(m,m), that is nearest to a given invalid (non-positive semidefinite) or pseudo-correlation matrix, Q(m,m); m larger than 2. In the literature on this problem, 'nearest' is invariably defined...

In simulation we often have to generate correlated random variables by giving a reference intercorrelation matrix, R or Q. The matrix R is positive definite and a valid correlation matrix. The matrix Q may appear to be a correlation matrix but it may be invalid (negative definite). With R(m,m)...

Complexity in financial markets is slowly overwhelming canonical statistical modelling. With global crises which stemming from contagion effects becoming more frequent, new tools for financial distress transmission c apture are needed. Graph theory , with its branch on minimum spanning trees can...

In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...

This rejoinder highlights some of the differences in the test approach adopted by Fernandez-Macho (2013) in his critique of Leong and Huang (2010) and those commonly found in the literature such as Granger and Newbold(1974), Phillips (1986) and Leong and Huang (2010)

Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by Engle and Sheppard (2001) as an econometrical - and on the...

In practice, multivariate dependencies of extreme risks are often only assessed in a pairwise way. We propose a novel test to detect when bivariate simplifications produce misleading results. This occurs when a significant portion of the multivariate dependence structure in the tails is of...

In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...