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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer International Publishing
2016
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| 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 |