Nature

Dynamic correlation analysis of sectoral electricity consumption and urban carbon concentration using machine learning models

Global climate change is one of the most critical environmental challenges of our time 1. The emission of greenhouse gases, especially carbon dioxide (CO 2), is the primary cause of global warming, ...
Finextra

Risk and portfolio management advanced approaches for Implementing Stochastic Correlation Processes

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...
Nature

Spatial correlation assessment of multiple earthquake intensity measures using physics-based simulated ground motions

Predictive models for spatial correlation play an effective role in the assessment of seismic risk associated with distributed infrastructure and building portfolios. However, existing models often ...
The Guardian

Correlation is not causation

"Correlation is not causation. Correlation is not causation. Correlation is not causation … " At times during my statistics studies I felt like Jack Nicholson in the film The Shining, in which we ...
Simon Fraser University

Example 29.7: Log-Linear Model for Count Data

The correlations between the counts are modeled as , (exchangeable correlations). For comparison, the correlations are also modeled as independent (identity correlation matrix). In this model, the ...
Risk

Eigenportfolios of US equities for the exponential correlation model

In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated. The closed-form ...
Risk

Beyond the Gaussian copula: stochastic and local correlation

We consider stochastic correlation models that account for the correlation smile in the pricing of synthetic CDO tranches. These can be viewed as tractable extensions of the one-factor Gaussian copula ...