http://orcid.org/0000-0002-5224-0423
References
- Acar, E. and Lequeux, P., Dynamic strategies: A correlation study. In Forecasting Financial Markets, edited by C. Dunis, pp. 93–123, 1996 (Wiley: London).
- Acar, E. and Lequeux, P., Trading rules profits and the underlying time series properties. In Financial Markets Tick by Tick, edited by P. Lequeux, pp. 255–301, 1998 (Wiley: London).
- Bowley, A.L., The standard deviation of the correlation coefficient. J. Am. Stat. Assoc., 1928, 23(161), 31–34.10.1080/01621459.1928.10502991
- Chicheportiche, R. and Bouchaud, J.-P., A nested factor model for non-linear dependencies in stock returns. Quant. Finance, 2015, 15(11), 1789–1804.10.1080/14697688.2014.994668
- Cramér, H., Mathematical Methods of Statistics, 1946 (Princeton University Press: Princeton, NJ).
- Eberlein, E. and Keller, U., Hyperbolic distributions in finance. Bernoulli, 1995, 1(3), 281–299.10.2307/3318481
- Fama, E., The behaviour of stock market prices. J. Bus., 1965, 38(1), 34–105.10.1086/jb.1965.38.issue-1
- Johnson, N.L. and Kotz, S., Distribution in Statistics: Continuous Multivariate Distributions, 1972 (John Wiley: New York).
- Kendall, M.G. and Stuart, A., Kendall’s Advanced Theory of Statistics, Vol. 1: Distribution Theory. 3rd ed., 1968 (Griffin: London).
- Kenett, D.Y., Huang, X., Vodenska, I., Havlin, S. and Stanley, H.E., Partial correlation analysis: Applications for financial markets. Quant. Finance, 2015, 15(4), 569–578.10.1080/14697688.2014.946660
- Kepner, J.L., Harper, J.D. and Keith, S.Z., A note on evaluating a certain orthant probability. Am. Stat., 1989, 43(1), 48–49.
- Linden, M., A model for stock return distribution. Int. J. Finan. Econ., 2001, 6(2), 159–169.10.1002/(ISSN)1099-1158
- Lundin, M. and Satchell, S., Performance measurement of portfolio risk with orthant probabilities. In Performance Measurement in Finance, edited by J. Knight and S. Satchell, pp. 261–284, 2002 (Butterworth and Heinemann: Oxford).10.1016/B978-075065026-7.50011-0
- Münnix, M.C., Schäfer, R. and Grothe, O., Estimating correlation and covariance matrices by weighting of market similarity. Quant. Finance, 2014, 14(5), 931–939.10.1080/14697688.2011.605075
- Rachev, S. and Mittnik, S., Stable Paretian Models in Finance, 2000 (Wiley: London).
- Richardson, M. and Smith, T., A test for multivariate normality in stock returns. J. Bus., 1993, 66(2), 295–321.10.1086/jb.1993.66.issue-2
- Rosenbaum, S., Moments of a truncated bivariate normal distribution. J. Roy. Stat. Soc. Series B (Methodol.), 1961, 23(2), 405–408.
- Sheppard, W.F., On the application of the theory of error to cases of normal distribution and normal correlation. Philos. Trans. Roy. Soc. London Series A, 1899, 192, 101–167.10.1098/rsta.1899.0003