Cross-correlation dynamics in financial time series
نویسندگان
چکیده
منابع مشابه
Cross-Correlation Dynamics in Financial Time Series
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50 indices reveal that the dynamics of the small eigenvalues of the cross-correlation matrix, over these time windows, oppose those of the largest eigenvalue. ...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2009
ISSN: 0378-4371
DOI: 10.1016/j.physa.2008.10.047