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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2015
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| Online Access: | http://umpir.ump.edu.my/id/eprint/9339/ http://umpir.ump.edu.my/id/eprint/9339/ |
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ump-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 |
| repository_type |
Digital Repository |
| institution_category |
Local University |
| institution |
Universiti Malaysia Pahang |
| building |
UMP Institutional Repository |
| collection |
Online Access |
| 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://umpir.ump.edu.my/id/eprint/9339/ |
| first_indexed |
2023-09-18T22:07:49Z |
| last_indexed |
2023-09-18T22:07:49Z |
| _version_ |
1777414826060939264 |