Modeling of stock return correlation

By S. Sepp. 2011

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Xi Zhang
2. Yunjia Zhang
3. Senzhang Wang
4. Philip S. Yu
5. Yuntao Yao
6. B. Fang
7. Peng-Weng Chen
8. Charu C. Aggarwal

Citations in the corpus

• Improving stock market prediction via heterogeneous information fusion (2017, background): “Stock correlations as a time series are modeled as a mean reverting process, together with a term related to index return [41].”
• Modelling the Stochastic Correlation (2016, methodology): “Assume dS t S t = μkdt+ σkdW k t , k = 1, 2 Then ρ̂T (S (1), S(2))→ 〈lnS (1), lnS(2)〉 σ1σ2T in probability as ||Π|| → 0 The proof can be found in [15].”