Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
DOI10.1016/j.ejor.2013.07.028zbMath1305.91247OpenAlexW2029810562MaRDI QIDQ2255953
Publication date: 18 February 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.07.028
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Economic time series analysis (91B84)
Related Items (6)
Cites Work
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