Browsing RPI Theses Open Access by Author "Campos de Carvalho, Pablo Jose"
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Non-stationarity dynamics of asset comovement
Campos de Carvalho, Pablo Jose (Rensselaer Polytechnic Institute, Troy, NY, 2016-12)In this dissertation, we contribute to the risk and asset pricing literature by investigating causes and effects of non-stationarity of financial time series. We propose a network-based framework to analyze structural and ...