Measuring rank correlation coefficients between financial time series: A GARCH-copula based sequence alignment algorithm
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DOI: 10.1016/j.ejor.2013.07.028
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- Bassetti, Federico & De Giuli, Maria Elena & Nicolino, Enrica & Tarantola, Claudia, 2018. "Multivariate dependence analysis via tree copula models: An application to one-year forward energy contracts," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1107-1121.
- Tsai, Ming-Feng & Wang, Chuan-Ju, 2017. "On the risk prediction and analysis of soft information in finance reports," European Journal of Operational Research, Elsevier, vol. 257(1), pages 243-250.
- D’Amico, Guglielmo & Petroni, Filippo, 2018. "Copula based multivariate semi-Markov models with applications in high-frequency finance," European Journal of Operational Research, Elsevier, vol. 267(2), pages 765-777.
- Chang, Kai & Zhang, Chao, 2018. "Asymmetric dependence structure between emissions allowances and wholesale diesel/gasoline prices in emerging China's emissions trading scheme pilots," Energy, Elsevier, vol. 164(C), pages 124-136.
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European Journal of Operational Research, Elsevier, vol. 259(3), pages 1121-1131.
- Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2016. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," MPRA Paper 84626, University Library of Munich, Germany, revised Nov 2016.
- EnDer Su, 2018. "Measuring contagion risk in high volatility state among Taiwanese major banks," Risk Management, Palgrave Macmillan, vol. 20(3), pages 185-241, August.
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Keywords
Time series; Rank correlation; GARCH; Copula; Sequence alignment;All these keywords.
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