Asymmetric conditional correlations in stock returns
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Publication:312957
DOI10.1214/16-AOAS924zbMath1400.62236MaRDI QIDQ312957
Patrick W. Saart, Yingcun Xia, Hui Jiang
Publication date: 9 September 2016
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoas/1469199902
kernel smoothing; semiparametric models; conditional cross-correlation coefficient; reduced rank model
62H25: Factor analysis and principal components; correspondence analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
Asymmetric conditional correlations in stock returns, Functional time series approach to analyzing asset returns co-movements
Cites Work
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