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A self-normalization break test for correlation matrix
Ji Eun Choi,
Dong Wan Shin
Department of Statistics
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peer-review
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Mathematics
Self-normalization
100%
Correlation Matrix
69%
Size Distortion
13%
Conditional Heteroscedasticity
12%
Serial Dependence
12%
Equity
12%
Singularity
11%
Bandwidth Selection
10%
Heteroscedasticity
10%
Volatility
9%
Null Distribution
9%
Covariance matrix
7%
Asymptotic distribution
7%
Monte Carlo Simulation
7%
Business & Economics
Correlation Matrix
72%
Normalization
66%
Singularity
22%
Monte Carlo Simulation
13%
Serial Dependence
12%
Conditional Heteroscedasticity
12%
Size Distortion
11%
Heteroscedasticity
10%
Volatility Index
10%
Asymptotic Distribution
9%
Bandwidth
9%
Equity
9%
Covariance Matrix
9%