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Symbolic hierarchical analysis in currency markets: An application to contagion in currency crises
16 references·2 citing·43 second hop
Symbolic hierarchical analysis in currency markets: An application to contagion in currency crises (2008)Symbolic hierarchical analysis in currenc…Testing for contagion: a conditional correlation analysis (2005)Testing for contagion: a cond…Empirical modelling of contagion: a review of methodologies (2005)Empirical modelling of contag…‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…Topology of correlation-based minimal spanning trees in real and model markets (2003)Topology of correlation-based…Dynamics of market correlations: Taxonomy and portfolio analysis (2003)Dynamics of market correlatio…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Measuring Contagion: Conceptual and Empirical Issues (2001)Measuring Contagion: Conceptu…International Financial Contagion (2001)International Financial Conta…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)The Twin Crises: The Causes o…Hierarchical structure in financial markets (1999)Hierarchical structure in fin…Leading Indicators of Currency Crises (1998)Leading Indicators of Currenc…Contagious speculative attacks (1995)Contagious speculative attacksThe Unstable EMS (1993)The Unstable EMSStructural Determinants of Real Exchange Rates and National Price Levels: Some Empirical Evidence (1991)Structural Determinants of Re…A Model of Balance-of-Payments Crises (1979)A Model of Balance-of-Payment…Network analysis of the Chinese stock market during the turbulence of 2015–2016 using log-returns, volumes and mutual information (2019)Network analysis of the Chine…Assess the Rating of SMEs by using Classification And Regression Trees (CART) with Qualitative Variables (2014)Assess the Rating of SMEs by …A simple perfect foresight monetary model (1975)Market anticipations, government policy, and the price of gold (1976)The Exchange Rate And The Balance of Payments In The Short Run and in The Long Run: A Monetary Approach (1977)Manias, Panics and Crashes (1978)New Indexes of Coincident and Leading Economic Indicators (1989)The Determinants of Banking Crises in Developing and Developed Countries (1998)Does financial liberalization spur growth? (2005)Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)Noise Dressing of Financial Correlation Matrices (1999)Networks of equities in financial markets (2004)A network perspective of the stock market (2010)Statistical physics of human cooperation (2017)The Economy as an Evolving Complex System II (2018)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility between Stock Markets (1990)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)An empirical analysis of herd behavior in global stock markets (2010)Housing Market Spillovers: Evidence from an Estimated DSGE Model (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multifactor Explanations of Asset Pricing Anomalies (1996)International Stock Return Comovements (2005)Is gold a safe haven? International evidence (2010)The Global Crisis and Equity Market Contagion (2014)Correlations in Price Changes and Volatility across International Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Aggregate Confusion: The Divergence of ESG Ratings (2019)Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks (1995)Currency crashes in emerging markets: An empirical treatment (1996)Economic Crises: Evidence and Insights from East Asia (1998)What caused the Asian currency and financial crisis? (1999)What matters for financial development? Capital controls, institutions, and interactions (2005)A tool for filtering information in complex systems (2005)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)Contagion: Understanding How It Spreads (2000)A New Approach to Measuring Financial Contagion (2003)
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References

  • 1999The Twin Crises: The Causes of Banking and Balance-of-Payments Problems5,042 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,735 cited
  • 1979A Model of Balance-of-Payments Crises2,946 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,398 cited
  • 1999Hierarchical structure in financial markets2,104 cited
  • 1998Leading Indicators of Currency Crises1,866 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
  • 2003Dynamics of market correlations: Taxonomy and portfolio analysis767 cited
  • 2005Empirical modelling of contagion: a review of methodologies549 cited
  • 2001Measuring Contagion: Conceptual and Empirical Issues514 cited
  • 2001International Financial Contagion491 cited
  • 1993The Unstable EMS464 cited
  • 2003Topology of correlation-based minimal spanning trees in real and model markets453 cited
  • 1995Contagious speculative attacks401 cited
  • 1991Structural Determinants of Real Exchange Rates and National Price Levels: Some Empirical Evidence272 cited

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2005
Testing for contagion: a conditional correlation analysis
251 cited

Cited by

  • 2019Network analysis of the Chinese stock market during the turbulence of 2015–2016 using log-returns, volumes and mutual information48 cited
  • 2014Assess the Rating of SMEs by using Classification And Regression Trees (CART) with Qualitative Variables10 cited