Kullback-Leibler distance as a measure of the information filtered from multivariate data
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- Jovanovic, Franck & Mantegna, Rosario N. & Schinckus, Christophe, 2019. "When financial economics influences physics: The role of Econophysics," International Review of Financial Analysis, Elsevier, vol. 65(C).
- Huang, Wei-Qiang & Yao, Shuang & Zhuang, Xin-Tian & Yuan, Ying, 2017. "Dynamic asset trees in the US stock market: Structure variation and market phenomena," Chaos, Solitons & Fractals, Elsevier, vol. 94(C), pages 44-53.
- Gautier Marti & S'ebastien Andler & Frank Nielsen & Philippe Donnat, 2016. "Clustering Financial Time Series: How Long is Enough?," Papers 1603.04017, arXiv.org, revised Apr 2016.
- Giacomo Bormetti & Maria Elena De Giuli & Danilo Delpini & Claudia Tarantola, 2008. "Bayesian Analysis of Value-at-Risk with Product Partition Models," Papers 0809.0241, arXiv.org, revised May 2009.
- Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
- Joel Bun & Jean-Philippe Bouchaud & Marc Potters, 2016. "Cleaning large correlation matrices: tools from random matrix theory," Papers 1610.08104, arXiv.org.
- Musmeci, Nicoló & Aste, Tomaso & Di Matteo, T., 2015. "Relation between financial market structure and the real economy: comparison between clustering methods," LSE Research Online Documents on Economics 61644, London School of Economics and Political Science, LSE Library.
- Wu Zhu & Jian-an Fang & Yang Tang & Wenbing Zhang & Wei Du, 2012. "Digital IIR Filters Design Using Differential Evolution Algorithm with a Controllable Probabilistic Population Size," PLOS ONE, Public Library of Science, vol. 7(7), pages 1-9, July.
- Sensoy, Ahmet & Tabak, Benjamin M., 2014.
"Dynamic spanning trees in stock market networks: The case of Asia-Pacific,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 387-402.
- Ahmet Sensoy & Benjamin M. Tabak, 2014. "Dynamic spanning trees in stock market networks: The case of Asia-Pacific," Working Papers Series 351, Central Bank of Brazil, Research Department.
- Contreras-Reyes, Javier E., 2014. "Asymptotic form of the Kullback–Leibler divergence for multivariate asymmetric heavy-tailed distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 200-208.
- Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
- Tumminello, Michele & Lillo, Fabrizio & Mantegna, Rosario N., 2010.
"Correlation, hierarchies, and networks in financial markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 75(1), pages 40-58, July.
- M. Tumminello & F. Lillo & R. N. Mantegna, 2008. "Correlation, hierarchies, and networks in financial markets," Papers 0809.4615, arXiv.org.
- Choi, Insu & Kim, Woo Chang, 2023. "Estimating Historical Downside Risks of Global Financial Market Indices via Inflation Rate-Adjusted Dependence Graphs," Research in International Business and Finance, Elsevier, vol. 66(C).
- Nicolo Musmeci & Tomaso Aste & Tiziana Di Matteo, 2014. "Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods," Papers 1406.0496, arXiv.org, revised Jan 2015.
- Giacomo Bormetti & Maria Elena De Giuli & Danilo Delpini & Claudia Tarantola, 2012. "Bayesian Value-at-Risk with product partition models," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 769-780, November.
- Christian Bongiorno & Marco Berritta, 2023. "Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory," Papers 2304.14098, arXiv.org, revised Apr 2023.
- Nicoló Musmeci & Tomaso Aste & T Di Matteo, 2015. "Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods," PLOS ONE, Public Library of Science, vol. 10(3), pages 1-24, March.
- Zhang, Xin & Podobnik, Boris & Kenett, Dror Y. & Eugene Stanley, H., 2014. "Systemic risk and causality dynamics of the world international shipping market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 43-53.
- Gautier Marti & Sébastien Andler & Frank Nielsen & Philippe Donnat, 2016. "Clustering Financial Time Series: How Long is Enough?," Post-Print hal-01400395, HAL.
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