Building a dynamic correlation network for fat-tailed financial asset returns

In this paper, a novel approach to building a dynamic correlation network of highly volatile financial asset returns is presented. Our method avoids the spurious correlation problem when estimating the dynamic correlation matrix of financial asset returns by using a filtering approach. A multivariat...

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Detalles Bibliográficos
Autor principal: Isogai, Takashi
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2016
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6245155/
https://www.ncbi.nlm.nih.gov/pubmed/30533499
http://dx.doi.org/10.1007/s41109-016-0008-x

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6245155/
https://www.ncbi.nlm.nih.gov/pubmed/30533499
http://dx.doi.org/10.1007/s41109-016-0008-x

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