Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-01-04 DOI:10.1080/14697688.2023.2278502

Matteo Pelagatti, Giacomo Sbrana

引用次数: 0

Abstract

The paper introduces a semiparametric estimator of the correlations among elliptically distributed random variables invariant to any form of heteroscedasticity, robust to outliers, and asymptotical...

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在任何形式的异方差下估算椭圆分布随机变量之间的相关性

本文介绍了一种椭圆分布随机变量间相关性的半参数估计器，该估计器对任何形式的异方差都是不变的，对异常值都是稳健的，并且是渐近的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.