We consider the question of cross-correlation measurements using Virgo and the LSC Interferometers (LIGO Livingston, LIGO Hanford, and GEO600) to search for a stochastic gravitational-wave background. We find that inclusion of Virgo into the network will substantially improve the sensitivity to correlations above 200Hz if all detectors are operating at their design sensitivity. This is illustra...

In finance, one usually deals not with prices but with growth rates R, defined as the difference in logarithm between two consecutive prices. Here we consider not the trading volume, but rather the volume growth rate R, the difference in logarithm between two consecutive values of trading volume. To this end, we use several methods to analyze the properties of volume changes |R|, and their rela...

The authors thank Schertzer et al. (2002) for their comment on their work (Sivakumar et al., 2001) on the investigation of the possible presence of low-dimensional chaotic behaviour (the term "chaos" was used therein to denote the low-dimensional chaos) in the rainfall-runoff process in the Gôta River basin in Sweden. The authors respond to this discussion with respect to: (a) the purpose of th...

Sliding-window cross-correlation is a common method to esimate time-varying correlations between signals (Laurent and Davidowitz, 1994; Laurent et al., 1996; Macleod and Laurent, 1996; Stopfer and Laurent, 1997; Wehr, 1999 (p. 96)). It produces a correlation value betwen two signals (positive or negative) for every (time,lag) pair of values. In principle, the expected value of the correlation f...

This work deals with the stochastic modelling of correlation in finance. It is well known that the correlation between financial products, financial institutions, e.g., plays an essential role in pricing and evaluation of financial derivatives. Using simply a constant or deterministic correlation may lead to correlation risk, since market observations give evidence that the correlation is hardl...