scientific article; zbMATH DE number 6781492

MaRDI QIDQ5359675zbMATH OpenFDO

Authors

Publication date 27 September 2017

Full work available at URL https://arxiv.org/abs/0710.0576, http://www.actaphys.uj.edu.pl/fulltext?series=Reg&vol=38&page=4079

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Measures of association (correlation, canonical correlation, etc.) (62H20) Inference from stochastic processes and prediction (62M20) Measures of information, entropy (94A17)

Cited in

(11)

• Asymptotic form of the Kullback-Leibler divergence for multivariate asymmetric heavy-tailed distributions
• Systemic risk and causality dynamics of the world international shipping market
• Optimal trading strategies -- a time series approach
• A nested factor model for non-linear dependencies in stock returns
• Estimating a covariance matrix for market risk management and the case of credit default swaps
• A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures
• A review of two decades of correlations, hierarchies, networks and clustering in financial markets
• Cleaning large correlation matrices: tools from random matrix theory
• Uncovering the dynamics of correlation structures relative to the collective market motion
• Filtering time-dependent covariance matrices using time-independent eigenvalues
• Quantifying the information lost in optimal covariance matrix cleaning

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