๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Stability of Markovian structure observed in high frequency foreign exchange data

โœ Scribed by Mieko Tanaka-Yamawaki

Book ID
110549746
Publisher
Springer Japan
Year
2003
Tongue
English
Weight
712 KB
Volume
55
Category
Article
ISSN
0020-3157

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Time variation in the correlation struct
Time variation in the correlation structure of exchange rates: high-frequency analyses
โœ Jayaram Muthuswamy; Sudipto Sarkar; Aaron Low; Eric Terry ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 224 KB ๐Ÿ‘ 2 views

The correlation structure of asset returns is a crucial parameter in risk management as well as in theoretical finance. In practice, however, the true correlation structure between the returns of assets can easily become obscured by time variation in the observed correlation structure and in the liq