As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

Once the ranks for the two variables are found, we apply the formula for the correlation to the ranks as follows: Both Spearman’s rank and Pearson’s correlation tests share the purpose of assessing ...

In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated. The closed-form ...