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In the recent years, banks have sold structured products such as worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interested in offsetting par...
Cross-Correlation Dynamics in Financial Time Series
Cross-Correlation Dynamics Financial Time Series
2010/10/18
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the...