Dependence structure of market states

DOI10.1088/1742-5468/2015/08/P08012zbMath1456.91130arXiv1503.09004MaRDI QIDQ3302373

Desislava Chetalova, Marcel Wollschläger, Rudi Schäfer

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.09004

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (4)

A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures ⋮ New collectivity measures for financial covariances and correlations ⋮ Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis ⋮ Quasi-stationary states in temporal correlations for traffic systems: Cologne orbital motorway as an example

Uses Software

• QRM
• clusfind

Cites Work

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• Finding Groups in Data
• The Use of Archimedean Copulas to Model Portfolio Allocations
• PORTFOLIO RETURN DISTRIBUTIONS: SAMPLE STATISTICS WITH STOCHASTIC CORRELATIONS

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