Understanding the Shift of Correlation Matrices During Financial Crisis: A Network Topology

Understanding the Shift of Correlation Matrices During Financial Crisis: A Network Topology

Understanding the shift of correlation matrices in any process is not an easy task. From the literatures, the most popular and widely used test for correlation shift is Jennrich's test. This motivates us to use it in this paper. However, if after hypothesis testing the hypothesis of stable proc...

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Main Authors: Nur Syahidah, Yusoff, Shamshuritawati , Sharif
Format: Conference or Workshop Item
Published: 2015
Subjects:
Q Science (General)
Online Access:http://umpir.ump.edu.my/id/eprint/9339/
http://dx.doi.org/10.1063/1.4907464
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Institution: Universiti Malaysia Pahang Al-Sultan Abdullah
id my.ump.umpir.9339
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spelling my.ump.umpir.93392015-06-24T04:42:38Z http://umpir.ump.edu.my/id/eprint/9339/ Understanding the Shift of Correlation Matrices During Financial Crisis: A Network Topology Nur Syahidah, Yusoff Shamshuritawati , Sharif Q Science (General) Understanding the shift of correlation matrices in any process is not an easy task. From the literatures, the most popular and widely used test for correlation shift is Jennrich's test. This motivates us to use it in this paper. However, if after hypothesis testing the hypothesis of stable process correlation is rejected, then the next problem is to find out the root causes of that situation. In this paper, network topology approach will be used to understand the shift. A case study will be discussed and presented to illustrate the advantage of this approach. 2015 Conference or Workshop Item PeerReviewed Nur Syahidah, Yusoff and Shamshuritawati , Sharif (2015) Understanding the Shift of Correlation Matrices During Financial Crisis: A Network Topology. In: AIP Conference Proceeding, 335, 1643 :The 2nd ISM International Statistical Conference (ISM-II 2014), 12-14 August 2014 , MS Garden Hotel, Kuantan. . http://dx.doi.org/10.1063/1.4907464
institution Universiti Malaysia Pahang Al-Sultan Abdullah
building UMPSA Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Pahang Al-Sultan Abdullah
content_source UMPSA Institutional Repository
url_provider http://umpir.ump.edu.my/
topic Q Science (General)
spellingShingle Q Science (General)
Nur Syahidah, Yusoff
Shamshuritawati , Sharif
Understanding the Shift of Correlation Matrices During Financial Crisis: A Network Topology
description Understanding the shift of correlation matrices in any process is not an easy task. From the literatures, the most popular and widely used test for correlation shift is Jennrich's test. This motivates us to use it in this paper. However, if after hypothesis testing the hypothesis of stable process correlation is rejected, then the next problem is to find out the root causes of that situation. In this paper, network topology approach will be used to understand the shift. A case study will be discussed and presented to illustrate the advantage of this approach.
format Conference or Workshop Item
author Nur Syahidah, Yusoff
Shamshuritawati , Sharif
author_facet Nur Syahidah, Yusoff
Shamshuritawati , Sharif
author_sort Nur Syahidah, Yusoff
title Understanding the Shift of Correlation Matrices During Financial Crisis: A Network Topology
title_short Understanding the Shift of Correlation Matrices During Financial Crisis: A Network Topology
title_full Understanding the Shift of Correlation Matrices During Financial Crisis: A Network Topology
title_fullStr Understanding the Shift of Correlation Matrices During Financial Crisis: A Network Topology
title_full_unstemmed Understanding the Shift of Correlation Matrices During Financial Crisis: A Network Topology
title_sort understanding the shift of correlation matrices during financial crisis: a network topology
publishDate 2015
url http://umpir.ump.edu.my/id/eprint/9339/
http://dx.doi.org/10.1063/1.4907464
_version_ 1822916882101960704

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