Browsing by Author "Inoue, J.-I."
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On the non-stationarity of financial time series: Impact on optimal portfolio selection
Livan, G.; Inoue, J.-I.; Scalas, E. (2012-12-31)We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provide empirical evidence ...