scientific article; zbMATH DE number 6781492
From MaRDI portal
Publication:5359675
zbMath1373.62467arXiv0710.0576MaRDI QIDQ5359675
No author found.
Publication date: 27 September 2017
Full work available at URL: https://arxiv.org/abs/0710.0576
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Inference from stochastic processes and prediction (62M20) Measures of association (correlation, canonical correlation, etc.) (62H20) Measures of information, entropy (94A17) Statistical aspects of information-theoretic topics (62B10)
Related Items (10)
Filtering time-dependent covariance matrices using time-independent eigenvalues ⋮ A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures ⋮ 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 ⋮ Optimal trading strategies—a time series approach ⋮ A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets ⋮ Cleaning large correlation matrices: tools from random matrix theory ⋮ Asymptotic form of the Kullback-Leibler divergence for multivariate asymmetric heavy-tailed distributions ⋮ Systemic risk and causality dynamics of the world international shipping market ⋮ Uncovering the dynamics of correlation structures relative to the collective market motion
This page was built for publication:
