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High-frequency cross-correlation in a set of stocks
5 references·16 citing·34 second hop
High-frequency cross-correlation in a set of stocks (2001)High-frequency cross-correlation in a set…The Econometrics of Financial Markets (2012)The Econometrics of Financial…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets (2021)A Review of Two Decades of Co…Multiscale correlation networks analysis of the US stock market: a wavelet analysis (2016)Multiscale correlation networ…Continuous wavelet transform and rolling correlation of European stock markets (2015)Continuous wavelet transform …Exploiting Social Relations and Sentiment for Stock Prediction (2014)Exploiting Social Relations a…Correlation and network analysis of global financial indices (2012)Correlation and network analy…Topology of the correlation networks among major currencies using hierarchical structure methods (2010)Topology of the correlation n…Correlation structure and dynamics in volatile markets (2010)Correlation structure and dyn…Topology of foreign exchange markets using hierarchical structure methods (2007)Topology of foreign exchange …SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS (2007)SPANNING TREES AND BOOTSTRAP …Hitting time distributions in financial markets (2007)Hitting time distributions in…The evolution of interdependence in world equity markets—Evidence from minimum spanning trees (2006)The evolution of interdepende…Correlation based networks of equity returns sampled at different time horizons (2006)Correlation based networks of…Degree stability of a minimum spanning tree of price return and volatility (2003)Degree stability of a minimum…Time-dependent cross-correlations between different stock returns: A directed network of influence (2002)Time-dependent cross-correlat…Degree stability of a minimum spanning tree of price return and volatility (2002)Degree stability of a minimum…Levels of complexity in financial markets (2001)Levels of complexity in finan…Scaling behaviour in the dynamics of an economic index (1995)Hierarchical structure in financial markets (1999)Introduction to Econophysics (1999)Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient (2013)Correlation and network topologies in global and local stock indices (2014)Effects of global financial crisis on network structure in a local stock market (2014)How popular is your paper? An empirical study of the citation distribution (1998)Stock network stability in times of crisis (2013)Network structure of the Wisconsin Schizotypy Scales–Short Forms: Examining psychometric network filtering approaches (2018)Long-Term Global Market Correlations (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Topological properties of stock market networks: The case of Brazil (2010)Networks in financial markets based on the mutual information rate (2014)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil (2010)A new approach to quantify power-law cross-correlation and its application to commodity markets (2011)Quantifying and modeling long-range cross correlations in multiple time series with applications to world stock indices (2011)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)The Sharpe Ratio (1994)Betting against beta (2013)Network analysis of a financial market based on genuine correlation and threshold method (2011)Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective (2012)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited

Cited by

  • 2006Correlation based networks of equity returns sampled at different time horizons236 cited
  • 2006The evolution of interdependence in world equity markets—Evidence from minimum spanning trees188 cited
  • 2002Time-dependent cross-correlations between different stock returns: A directed network of influence165 cited
  • 2012Correlation and network analysis of global financial indices156 cited
  • 2007SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS147 cited
  • 2010Correlation structure and dynamics in volatile markets144 cited
  • 2007Topology of foreign exchange markets using hierarchical structure methods142 cited
  • 2021A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets139 cited
  • 2003Degree stability of a minimum spanning tree of price return and volatility127 cited

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2002
Degree stability of a minimum spanning tree of price return and volatility
119 cited
  • 2014Exploiting Social Relations and Sentiment for Stock Prediction112 cited
  • 2007Hitting time distributions in financial markets103 cited
  • 2010Topology of the correlation networks among major currencies using hierarchical structure methods102 cited
  • 2001Levels of complexity in financial markets94 cited
  • 2016Multiscale correlation networks analysis of the US stock market: a wavelet analysis90 cited
  • 2015Continuous wavelet transform and rolling correlation of European stock markets89 cited