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q-fin.ST2013★ 2 cited
Portfolio return distributions: Sample statistics with non-stationary correlations
Desislava Chetalova, Thilo A. Schmitt, Rudi Schäfer +1
We consider random vectors drawn from a multivariate normal distribution and compute the sample statistics in the presence of non-stationary correlations. For this purpose, we cons…
q-fin.ST2013★ 57 cited
Non-Stationarity in Financial Time Series and Generic Features
Thilo A. Schmitt, Desislava Chetalova, Rudi Schäfer +1
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time w…