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Life time of correlation between stocks prices on established and emerging markets
Life time of correlation correlation coefficient price history stocks
2011/6/21
The correlation coefficient between stocks depends on price history and
includes information on hierarchical structure in financial markets. It is
useful for portfolio selection and estimation of ri...
DISTRIBUTIONAL ANALYSIS OF THE STOCKS COMPRISING THE DAX 30
Stable distributions heavy-tails tail estimation ARMA-GARCH DAX 30
2009/9/18
In this paper, we analyze the returns of stocks comprising
the German stock index DAX with respect to the a-stable distribution.
We apply nonparametric estimation methods such as the
Hill mtimator ...