Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail–correlation matrices based on Value–at–Risk (VaR) estimates. We demonstrate how to obtain more efficient tail–correlation estimates by use of overidentification strategies and how to guarantee positive semidefinit...

For a large class of quantum systems, the statistical properties of their spectrum show remarkable agreement with random matrix predictions. Recent advances show that the scope of random matrix theory is much wider. In this work, we show that the random matrix approach can be beneficially applied to a completely different classical domain, namely, to the empirical correlation matrices obtained ...

empirical researches have shown that in highly volatile market, conditional correlation between returns is stronger, so diversification cannot reduce risk. to test this claim in iran’s financial market, quintiles of stock return distribution have been estimated by kernel density and garch models. then, average conditional correlation, error variance and conditional capm has been calculated to t...

t is the purpose of this paper to contribute to the discussion initiated bywachter about the parallelism between principal component (pc) and atypological grade of membership (gom) analysis. the author testedempirically the close relationship between both analysis in a lowdimensional framework comprising up to nine dichotomous variables and twotypologies. our contribution to the subject is also...

In this paper, experimental data and numerical results of heat transfer from a heated rotating disk in still air are presented over a large range of inclination angles and a dimensionless correlation is developed for forced, natural and mixed convection. The measured Nusselt number over the rotating disk is compared with the numerical results. The goal of the present research is to develop a se...

t is the purpose of this paper to contribute to the discussion initiated byWachter about the parallelism between principal component (PC) and atypological grade of membership (GoM) analysis. The author testedempirically the close relationship between both analysis in a lowdimensional framework comprising up to nine dichotomous variables and twotypologies. Our contribution to the subject is also...