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ArticleExponential smoothing weighted correlations

F. Pozzi2012

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Articlegreen2012

Exponential smoothing weighted correlations

F. Pozzi · Tiziana Di Matteo · Tomaso Aste

114 citations·0/0 files stored·The European Physical Journal B

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Statistical Mechanics and Entropy

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References

1938A NEW MEASURE OF RANK CORRELATION 2002Dynamic Conditional Correlation 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1988Thirteen Ways to Look at the Correlation Coefficient 2001The distribution of realized stock return volatility 2001The Distribution of Realized Exchange Rate Volatility 1999Hierarchical structure in financial markets n.d.Multivariate GARCH models: a survey

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2015Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods 2021Synchronization Without Similarity. The Effects of Covid-19 Pandemic on GDP Growth and Inflation in the Eurozone

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Details

Year2012

Typearticle

Published2012-06-01

VenueThe European Physical Journal B

ISSN-L1434-6028

Languageen

Citations114

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1140/epjb/e2012-20697-x

openalex_workW2051821822

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