Local normalization: Uncovering correlations in non-stationary financial time series

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 18, 2010, Pages 3856-3865

  Schfer, Rudi ^a   Guhr, Thomas ^a  

^a UNIVERSITY OF DUISBURG ESSEN   (Germany)

Author keywords

Econophysics; Financial correlations; Non stationarity; Time series analysis

Indexed keywords

FINANCE; FINANCIAL DATA PROCESSING; MONTE CARLO METHODS; RISK ASSESSMENT; RISK MANAGEMENT;

CROSS CORRELATIONS; ECONOPHYSICSS; EMPIRICAL DATA; ESTIMATION ERRORS; FINANCIAL CORRELATIONS; FINANCIAL TIME SERIES; NON-STATIONARITIES; NONSTATIONARY;

TIME SERIES ANALYSIS;

EID: 77955303388     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.05.030     Document Type: Article

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