Nur Syahidah, Yusoff and Shamshuritawati , Sharif (2015) Understanding the Shift of Correlation Matrices During Financial Crisis: A Network Topology. In: AIP Conference Proceeding, 335, 1643 :The 2nd ISM International Statistical Conference (ISM-II 2014) , 12-14 August 2014 , MS Garden Hotel, Kuantan. .
Full text not available from this repository. (Request a copy)Abstract
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.
| Item Type: | Conference or Workshop Item (Speech) |
|---|---|
| Uncontrolled Keywords: | Network topology; Testing procedures |
| Subjects: | Q Science > Q Science (General) |
| Faculty/Division: | Faculty of Industrial Sciences And Technology |
| Depositing User: | Mrs. Neng Sury Sulaiman |
| Date Deposited: | 24 Jun 2015 04:42 |
| Last Modified: | 24 Jun 2015 04:42 |
| URI: | http://umpir.ump.edu.my/id/eprint/9339 |
| Download Statistic: | View Download Statistics |
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