258 citations · 1.1k across the 40 of their papers we have counts for
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q-fin.ST2012★ 22 cited
On the non-stationarity of financial time series: impact on optimal portfolio selection
Giacomo Livan, Jun-ichi Inoue, Enrico Scalas
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary beh…
q-fin.ST2012★ 21 cited
Asymmetric correlation matrices: an analysis of financial data
Giacomo Livan, Luca Rebecchi
We analyze the spectral properties of correlation matrices between distinct statistical systems. Such matrices are intrinsically non symmetric, and lend themselves to extend the sp…