Results 11 to 20 of about 641,662 (279)
Implied Correlation from VaR [PDF]
SSRN Electronic Journal, 2007 Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation.
Francois Longin, John Cotter
core +6 more sources
Correlation Structures of Correlated Binomial Models and Implied Default Distribution [PDF]
Journal of the Physical Society of Japan, 2008 We show how to analyze and interpret the correlation structures, the conditional expectation values and correlation coefficients of exchangeable Bernoulli random variables.
Aleksiejuk A. +16 more
core +2 more sources
Implied basket correlation dynamics [PDF]
Statistics & Risk Modeling, 2016 Abstract Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called “dispersion strategy”.
Wolfgang Karl Härdle, Elena Silyakova
openaire +6 more sources
Quantum correlations which imply causation [PDF]
Scientific Reports, 2015 AbstractIn ordinary, non-relativistic, quantum physics, time enters only as a parameter and not as an observable: a state of a physical system is specified at a given time and then evolved according to the prescribed dynamics. While the state can and usually does, extend across all space, it is only defined at one instant of time.
Fitzsimons, J.F, Jones, J.A, Vedral, V
openaire +4 more sources
When Correlation Implies Causation in Multisensory Integration [PDF]
Current Biology, 2012 Inferring which signals have a common underlying cause, and hence should be integrated, represents a primary challenge for a perceptual system dealing with multiple sensory inputs [1-3]. This challenge is often referred to as the correspondence problem or causal inference.
Parise, Cesare +2 more
openaire +4 more sources
Sensitivity-implied tail-correlation matrices
Journal of Banking & Finance, 2022 Abstract Tail-correlation matrices are an important tool for aggregating risk measurements across risk categories, asset classes and/or business segments. This paper demonstrates that traditional tail-correlation matrices—which are conventionally assumed to have ones on the diagonal—can lead to substantial biases of the aggregate risk measurement’s ...
Paulusch, Joachim, Schlütter, Sebastian
openaire +3 more sources
The variance implied conditional correlation [PDF]
The European Journal of Finance, 2019 We apply univariate GARCH models to construct a computationally simple filter for estimating the conditional correlation matrix of asset returns. The proposed Variance Implied Conditional Correlation (VICC) exploits the polarization result that links the correlation between two standardized variables with the variances of linear combinations thereof ...
Andres Algaba +2 more
openaire +3 more sources
Nursing students' views and satisfaction of their clinical learning environment in Singapore
Nursing Open, 2020 Aims This study aims to investigate final‐year nursing students' actual perception of their clinical learning environment in Singapore. Design Descriptive cross‐sectional survey.
Ming Wei Jeffrey Woo, Wenjie Li
doaj +1 more source
Exponential Decay of Correlations Implies Area Law [PDF]
Communications in Mathematical Physics, 2014 We prove that a finite correlation length, i.e. exponential decay of correlations, implies an area law for the entanglement entropy of quantum states defined on a line. The entropy bound is exponential in the correlation length of the state, thus reproducing as a particular case Hastings proof of an area law for groundstates of 1D gapped Hamiltonians ...
Fernando G. S. L. Brandão +1 more
openaire +5 more sources
Multisensory Integration: When Correlation Implies Causation
i-Perception, 2011 Humans are equipped with multiple sensory channels, jointly providing both redundant and complementary information. A primary challenge for the brain is therefore to make sense of these multiple sources of information and bind together those signals originating from the same source while segregating them from other inputs. Whether multiple signals have
Parise, Cesare +3 more
openaire +5 more sources