搜索结果: 1-6 共查到“经济学 cross-correlations”相关记录6条 . 查询时间(0.137 秒)
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
matrix theory quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
time series quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations
portfolio market risk volatility scaling square-root-of-time rule
2010/10/21
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this ...
Memory effect and multifractality of cross-correlations in financial markets
Econophysics Stock market
2010/10/20
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock mark...
In finance, one usually deals not with prices but with growth rates $R$, defined as the difference in logarithm between two consecutive prices. Here we consider not the trading volume, but rather the ...
Cross-correlations in Warsaw Stock Exchange
Statistical Finance Data Analysis Statistics Probability Physics Society
2010/12/16
We study the inter-stock correlations for the largest companies listed on Warsaw Stock Exchange and included in the WIG20 index. Our results from the correlation matrix analysis indicate that the Poli...