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초록
Multivariate volatility is summarized through canonical correlation analysis (CCA). Along with the standard CCA, non-negative and sparse canonical correlation analysis (NSCCA) is introduced to make sure that volatility coefficients are non-negative and the number of coefficients in the volatility CCA is as small as possible. Various multivariate financial time series are analyzed to illustrate the main contribution of the paper.
키워드
Canonical correlation analysis(CCA); multivariate volatility; non-negative and sparse canonical correlation analysis(NSCCA); 정준상관분석; 다변량 변동성; 비음(non-negative) 정준상관분석
- 제목
- Multivariate Volatility Analysis via Canonical Correlations for Financial Time Series
- 제목 (타언어)
- 정준상관분석을 통한 다변량 금융시계열의 변동성 분석
- 저자
- 이승연; 황선영
- 발행일
- 2014-12
- 저널명
- 응용통계연구
- 권
- 27
- 호
- 7
- 페이지
- 1139 ~ 1149