922 citations · 1.5k across the 12 of their papers we have counts for
3 papers · 1 filter
Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector
Adriana P. Mattedi, Fernando M. Ramos, Reinaldo R. Rosa +1
In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a…
An interest rates cluster analysis
T. Di Matteo, T. Aste, R. N. Mantegna
An empirical analysis of interest rates in money and capital markets is performed. We investigate a set of 34 different weekly interest rate time series during a time period of 16…
Networks of equities in financial markets
G. Bonanno, G. Caldarelli, F. Lillo +3
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility t…