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Showing 1 to 1 of 1 for “"Cross-asset correlation"”.
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A Non-Parametric Approach to Change-Point Detection in Cross-Asset Correlations
… the problem of detecting change-points in cross-asset correlations using a non-parametric approach. We began by comparing and contrasting several common methods for change-point detection as well as methods for measuring correlation. We finally settle on a statistic introduced in early 2012 …