{"title":"在任何形式的异方差下估算椭圆分布随机变量之间的相关性","authors":"Matteo Pelagatti, Giacomo Sbrana","doi":"10.1080/14697688.2023.2278502","DOIUrl":null,"url":null,"abstract":"The paper introduces a semiparametric estimator of the correlations among elliptically distributed random variables invariant to any form of heteroscedasticity, robust to outliers, and asymptotical...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"11 1","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity\",\"authors\":\"Matteo Pelagatti, Giacomo Sbrana\",\"doi\":\"10.1080/14697688.2023.2278502\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The paper introduces a semiparametric estimator of the correlations among elliptically distributed random variables invariant to any form of heteroscedasticity, robust to outliers, and asymptotical...\",\"PeriodicalId\":20747,\"journal\":{\"name\":\"Quantitative Finance\",\"volume\":\"11 1\",\"pages\":\"\"},\"PeriodicalIF\":1.5000,\"publicationDate\":\"2024-01-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quantitative Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/14697688.2023.2278502\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/14697688.2023.2278502","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
The paper introduces a semiparametric estimator of the correlations among elliptically distributed random variables invariant to any form of heteroscedasticity, robust to outliers, and asymptotical...
期刊介绍：
The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.
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