Understanding the shift of correlation matrices during financial crisis: A network topology

Understanding the shift of correlation matrices in any process is not an easy task. From the literatures, the most popular and widely used test for correlation shift is Jennrich's test. This motivates us to use it in this paper. However, if after hypothesis testing the hypothesis of stable proc...

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Bibliographic Details
Main Authors: Yusoff, Nur Syahidah, Sharif Shamshuritawati
Format: Conference Proceeding
Language:English
Subjects:
Correlation
Hypotheses
Hypothesis testing
Network topologies
Online Access:Get full text
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Summary:Understanding the shift of correlation matrices in any process is not an easy task. From the literatures, the most popular and widely used test for correlation shift is Jennrich's test. This motivates us to use it in this paper. However, if after hypothesis testing the hypothesis of stable process correlation is rejected, then the next problem is to find out the root causes of that situation. In this paper, network topology approach will be used to understand the shift. A case study will be discussed and presented to illustrate the advantage of this approach.
ISSN:0094-243X
1551-7616
DOI:10.1063/1.4907464