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Coalition-Proofness and Correlation with Arbitrary Communication Possibilities
Coalition-Proofness Correlation Arbitrary Communication Possibilities
2015/7/21
The ability of the members of a coalition to communicate secretly determines whether the coalition can coordinate to deviate from a proposed strategy and thus affects which strategies are ‘‘coalition ...
Hierarchical structure and time-lag correlation in Worldwide Financial Markets
Hierarchical structure time-lag correlation Worldwide Financial Markets Statistical Finance
2012/6/4
Recently, many studies indicated that the minimum spanning tree (MST) network whose metric distance is de?ned by using correlation coe?cients have strong implications on extracting infor- mation from ...
Tails of correlation mixtures of elliptical copulas
Copula tail dependence penultimate tail dependence stochastic correlation Gaussian copula t -copula stock market return
2010/11/3
Correlation mixtures of elliptical copulas arise when the correlation parameter is driven itself by a latent random process. For such copulas, both penultimate and asymptotic tail dependence are much ...