Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm

DOI10.1016/j.ejor.2013.07.028zbMath1305.91247OpenAlexW2029810562MaRDI QIDQ2255953

Yih-Wenn Laih

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

zbMATH Keywords

copulatime seriesGARCHsequence alignmentrank correlation

Mathematics Subject Classification ID

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)

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Dynamic contagion of systemic risks on global main equity markets based on Granger causality networks ⋮ Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts ⋮ Using parametric classification trees for model selection with applications to financial risk management ⋮ Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios ⋮ On the risk prediction and analysis of soft information in finance reports ⋮ Copula based multivariate semi-Markov models with applications in high-frequency finance

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