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 process...

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Main Authors:	Yusoff, Nur Syahidah, Sharif, Shamshuritawati
Format:	Conference or Workshop Item
Published:	2015
Subjects:	QA Mathematics
Online Access:	http://repo.uum.edu.my/18743/ http://doi.org/10.1063/1.4907464
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Institution:	Universiti Utara Malaysia

id	my.uum.repo.18743
record_format	eprints
spelling	my.uum.repo.187432016-10-04T06:28:57Z http://repo.uum.edu.my/18743/ Understanding the shift of correlation matrices during financial crisis: A network topology Yusoff, Nur Syahidah Sharif, Shamshuritawati QA Mathematics 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 Yusoff, Nur Syahidah and Sharif, Shamshuritawati (2015) Understanding the shift of correlation matrices during financial crisis: A network topology. In: 2nd ISM International Statistical Conference 2014 (ISM-II), 12–14 August 2014, Pahang, Malaysia. http://doi.org/10.1063/1.4907464 doi:10.1063/1.4907464
institution	Universiti Utara Malaysia
building	UUM Library
collection	Institutional Repository
continent	Asia
country	Malaysia
content_provider	Universiti Utara Malaysia
content_source	UUM Institutionali Repository
url_provider	http://repo.uum.edu.my/
topic	QA Mathematics
spellingShingle	QA Mathematics Yusoff, Nur Syahidah Sharif, Shamshuritawati 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	Yusoff, Nur Syahidah Sharif, Shamshuritawati
author_facet	Yusoff, Nur Syahidah Sharif, Shamshuritawati
author_sort	Yusoff, Nur Syahidah
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://repo.uum.edu.my/18743/ http://doi.org/10.1063/1.4907464
_version_	1644282523343126528

Understanding the shift of correlation matrices during financial crisis: A network topology

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