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http://dx.doi.org/10.5351/KJAS.2014.27.7.1139

Multivariate Volatility Analysis via Canonical Correlations for Financial Time Series  

Lee, Seung Yeon (Department of Statistics, Sookmyung Women's University)
Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.27, no.7, 2014 , pp. 1139-1149 More about this Journal
Abstract
Multivariate volatility is summarized through canonical correlation analysis (CCA). Along with the standard CCA, non-negative and sparse canonical correlation analysis (NSCCA) is introduced to make sure that volatility coefficients are non-negative and the number of coefficients in the volatility CCA is as small as possible. Various multivariate financial time series are analyzed to illustrate the main contribution of the paper.
Keywords
Canonical correlation analysis(CCA); multivariate volatility; non-negative and sparse canonical correlation analysis(NSCCA);
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Times Cited By KSCI : 2  (Citation Analysis)
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