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 str...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2014.
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| Subjects: | |
| Online Access: | Get fulltext |