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Statistical Properties of Cross-Correlation in the Korean Stock Market
correlation matrix random matrix theory markowitz portfolio theory
2010/10/22
We investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the po...
Estimating correlation and covariance matrices by weighting of market similarity
Weighted Correlation Estimation Covariance Estimation Time-dynamic Dependence
2010/10/20
We discuss a weighted estimation of correlation and covariance matrices from historical financial data. To this end, we introduce a weighting scheme that accounts for similarity of previous market co...
Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation
Counterparty Risk, Credit Valuation adjustment Commodities Swaps,Oil models Convenience Yield models Stochastic Intensity models
2010/10/29
It is commonly accepted that Commodities futures and forward prices, in principle, agree under some simplifying assumptions. One of the most relevant assumptions is the absence of counterparty risk. I...