Dynamics of Correlation Structure in Stock Market
نویسندگان
چکیده
منابع مشابه
Dynamics of Correlation Structure in Stock Market
In this paper a correction factor for Jennrich’s statistic is introduced in order to be able not only to test the stability of correlation structure, but also to identify the time windows where the instability occurs. If Jennrich’s statistic is only to test the stability of correlation structure along predetermined non-overlapping time windows, the corrected statistic provides us with the histo...
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ژورنال
عنوان ژورنال: Entropy
سال: 2014
ISSN: 1099-4300
DOI: 10.3390/e16010455