Click here for guidelines on the submission of technical articles. Monte Carlo simulations for pricing are ubiquitous in finance, particularly for credit valuation adjustments, which are carried out ...

Correlation matrices serve as fundamental representations of functional brain networks in neuroimaging. Conventional analyses often treat pairwise interactions independently within Euclidean space, ...

The analysis of correlation matrices has attracted considerable attention almost for a hundred years starting with multivariate analysis in finance 1. In two pioneering papers Laloux et al. and Plerou ...

A few years have passed since we last published these asset class correlation matrices, but they're always interesting to take a look at. For reference, a correlation coefficient of 1 means the two ...

X ij = [x ij1, ... , x ijp]' The Generalized Estimating Equation of Liang and Zeger (1986) for estimating the p ×1 vector of regression parameters is an extension of the independence estimating ...

Analysts tend to describe the state of the market using levels – spreads, volatility, or valuations. These measures are intuitive, but they lack the power to fully characterize the true nature of a ...