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Network structure of cross-correlations among the world market indices
10 references·2 citing·33 second hop
Network structure of cross-correlations among the world market indices (2009)Network structure of cross-correlations a…The evolution of interdependence in world equity markets—Evidence from minimum spanning trees (2006)The evolution of interdepende…A tool for filtering information in complex systems (2005)A tool for filtering informat…Topology of correlation-based minimal spanning trees in real and model markets (2003)Topology of correlation-based…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Dynamics of market correlations: Taxonomy and portfolio analysis (2003)Dynamics of market correlatio…Taxonomy of stock market indices (2000)Taxonomy of stock market indi…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Hierarchical structure in financial markets (1999)Hierarchical structure in fin…Comovements in Stock Prices in the Very Short Run (1979)Comovements in Stock Prices i…TREND ANALYSIS OF GLOBAL STOCK MARKET LINKAGE BASED ON A DYNAMIC CONDITIONAL CORRELATION NETWORK (2017)TREND ANALYSIS OF GLOBAL STOC…Dependency Relations among International Stock Market Indices (2015)Dependency Relations among In…The Econometrics of Financial Markets (1997)Introduction to Econophysics (1999)Topological properties of stock market networks: The case of Brazil (2010)Correlation and network analysis of global financial indices (2012)Networks in financial markets based on the mutual information rate (2014)Market and Industry Factors in Stock Price Behavior (1966)Some New Stock-Market Indexes (1966)PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)The Distribution of Exchange Rate Volatility (1999)Evidence on the speed of convergence to market efficiency (2005)Physical approach to complex systems (2012)Long-Term Global Market Correlations (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Quantifying cross-correlations using local and global detrending approaches (2009)A network perspective of the stock market (2010)Multifractal analysis of financial markets: a review (2019)Networks of equities in financial markets (2004)Correlation, hierarchies, and networks in financial markets (2010)The Economy as an Evolving Complex System II (2018)The Econometrics of Financial Markets (2012)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Modern Portfolio Theory and Investment Analysis. (1982)Random matrix approach to cross correlations in financial data (2002)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Portfolio Selection: Efficient Diversification of Investments. (1962)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)International Stock Return Comovements (2005)High dimensional covariance matrix estimation using a factor model (2008)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)
this work references cited by second hop

References

  • 1999Hierarchical structure in financial markets2,073 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 2005A tool for filtering information in complex systems902 cited
  • 2003Dynamics of market correlations: Taxonomy and portfolio analysis767 cited
  • 1979Comovements in Stock Prices in the Very Short Run464 cited
  • 2003Topology of correlation-based minimal spanning trees in real and model markets453 cited
  • 2006The evolution of interdependence in world equity markets—Evidence from minimum spanning trees188 cited
  • 2000Taxonomy of stock market indices167 cited

Cited by

  • 2015Dependency Relations among International Stock Market Indices88 cited
  • 2017TREND ANALYSIS OF GLOBAL STOCK MARKET LINKAGE BASED ON A DYNAMIC CONDITIONAL CORRELATION NETWORK32 cited

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