搜索结果: 1-4 共查到“世界经济学 correlation”相关记录4条 . 查询时间(0.145 秒)
Evolution of worldwide stock markets, correlation structure and correlation based graphs
stock exchanges The fast dynamics measure of mutual information
2011/3/31
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market in...
Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical ...
Cross-correlation of long-range correlated series
Cross-correlation long-range correlated series
2010/12/17
A method for estimating the cross-correlation $C_{xy}(\tau)$ of long-range correlated series $x(t)$ and $y(t)$, at varying lags $\tau$ and scales $n$, is proposed. For fractional Brownian motions with...
Estimating correlation from high, low, opening and closing prices
Estimating correlation high low opening closing prices
2010/12/17
In earlier studies, the estimation of the volatility of a stock using information on the daily opening, closing, high and low prices has been developed; the additional information in the high and low...