4.2 Article

Exponential smoothing weighted correlations

Related references

Note: Only part of the references are listed.
Article Physics, Condensed Matter

The use of dynamical networks to detect the hierarchical organization of financial market sectors

T. Di Matteo et al.

EUROPEAN PHYSICAL JOURNAL B (2010)

Article Physics, Multidisciplinary

Correlation structure and dynamics in volatile markets

T. Aste et al.

NEW JOURNAL OF PHYSICS (2010)

Article Mathematics, Interdisciplinary Applications

CENTRALITY AND PERIPHERALITY IN FILTERED GRAPHS FROM DYNAMICAL FINANCIAL CORRELATIONS

F. Pozzi et al.

ADVANCES IN COMPLEX SYSTEMS (2008)

Article Physics, Multidisciplinary

The asymptotic spectrum of the EWMA covariance estimator

Jens Svensson

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2007)

Article Business, Finance

Shrinking the covariance matrix

David J. Disatnik et al.

JOURNAL OF PORTFOLIO MANAGEMENT (2007)

Review Economics

Multivariate GARCH models: A survey

L Bauwens et al.

JOURNAL OF APPLIED ECONOMETRICS (2006)

Article Physics, Multidisciplinary

Hierarchical clustering using mutual information

A Kraskov et al.

EUROPHYSICS LETTERS (2005)

Article Statistics & Probability

On covariance estimation of non-synchronously observed diffusion processes

T Hayashi et al.

BERNOULLI (2005)

Article Business, Finance

Implied correlation index: A new measure of diversification

VD Skintzi et al.

JOURNAL OF FUTURES MARKETS (2005)

Article Statistics & Probability

Fast algorithms for the calculation of Kendall's tau

D Christensen

COMPUTATIONAL STATISTICS (2005)

Article Business, Finance

Honey, I shrunk the sample covariance matrix - Problems in mean-variance optimization.

O Ledoit et al.

JOURNAL OF PORTFOLIO MANAGEMENT (2004)

Article Physics, Fluids & Plasmas

Estimating mutual information -: art. no. 066138

A Kraskov et al.

PHYSICAL REVIEW E (2004)

Article Physics, Fluids & Plasmas

Dynamics of market correlations: Taxonomy and portfolio analysis

JP Onnela et al.

PHYSICAL REVIEW E (2003)

Article Business, Finance

No contagion, only interdependence: Measuring stock market comovements

KJ Forbes et al.

JOURNAL OF FINANCE (2002)

Article Business, Finance

Asymmetric correlations of equity portfolios

A Ang et al.

JOURNAL OF FINANCIAL ECONOMICS (2002)

Article Computer Science, Theory & Methods

Searching in metric spaces

E Chávez et al.

ACM COMPUTING SURVEYS (2001)

Article Business, Finance

The distribution of realized stock return volatility

TG Andersen et al.

JOURNAL OF FINANCIAL ECONOMICS (2001)

Article Statistics & Probability

The distribution of realized exchange rate volatility

TG Andersen et al.

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2001)