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Document type:
Masterarbeit
Author(s):
Johannes Klepsch
E-mail address:
johannes.klepsch@tum.de
Title:
Conditional Correlation in Financial Returns, A Model Free Approach
Abstract:
In the modeling of financial time series, mathematicians have always incurred limits when trying to fit models to datasets. It seems like the evolution of market phenomena is too complex to be captured by an easy parametric model. In 2003, Politis introduced a modelfree data-based approach that he named NoVaS (Normalizing and Variance Stabilizing) method. As no particular model is invoked, the loss of information whilst fitting a model to the data is avoided. At the same time, due to i...     »
DDC:
510 Mathematik
Date of acceptation:
08.11.2013
Year:
2013
University:
Technische Universität München
Format:
Text
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