کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
975494 | 933033 | 2007 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Random, but not so much a parameterization for the returns and correlation matrix of financial time series
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Random, but not so much a parameterization for the returns and correlation matrix of financial time series Random, but not so much a parameterization for the returns and correlation matrix of financial time series](/preview/png/975494.png)
چکیده انگلیسی
A parameterization that is a modified version of a previous work is proposed for the returns and correlation matrix of financial time series and its properties are studied. This parameterization allows easy introduction of non-stationarity and it shows several of the characteristics of the true, observed realizations, such as fat tails, volatility clustering, and a spectrum of eigenvalues of the correlation matrix that can be understood as an extension of Random Matrix Theory results. The predicted behavior of this parameterization for the eigenvalues is compared with the eigenvalues of Brazilian assets and it is shown that those predictions fit the data better than Random Matrix Theory.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 383, Issue 2, 15 September 2007, Pages 527-532
Journal: Physica A: Statistical Mechanics and its Applications - Volume 383, Issue 2, 15 September 2007, Pages 527-532
نویسندگان
André C.R. Martins,