Abstract
A Model for Lagged Cross Correlation Matrix from Long Range Dependent Indian Stock Market Data
By
Gantasala Naga Vyshnavi
IIT, Tirupati
| Abstract:
In the financial market, cross correlation is an important aspect that is useful in portfolio optimization, risk management, etc. Cross correlation plays a major role in multivariate data analysis. In this paper we have modeled lagged cross correlation function (CCF) and have studied the empirical spectral distribution (ESD) arised from the corresponding CCF matrix. We have considered Indian stock exchange data to do the analysis. we had observed that ESD of symmetrized lag matrices constructed from historical data has a nice structure with a triangular shape bulk and the outside chunks on either sides of the bulk, or on only one side. The ESD of proposed simulated CCF matrix has similar structure that of the the ESD of CCF matrix from historical data.
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