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A network approach to unravel asset price comovement using minimal dependence structure
16 references·2 citing·41 second hop
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1997Industry costs of equity5,793 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2000Financial Contagion3,393 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2011Complexity, concentration and contagion825 cited
  • 2003Dynamics of market correlations: Taxonomy and portfolio analysis767 cited
  • 2000From value at risk to stress testing: The extreme value approach517 cited
  • 2003Topology of correlation-based minimal spanning trees in real and model markets453 cited
  • 2006How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices429 cited
  • 2004Systemic Risk and International Portfolio Choice405 cited
  • 2004

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Networks of equities in financial markets
403 cited

Cited by

  • 2020Financialization, idiosyncratic information and commodity co-movements74 cited
  • 2022Analysing and forecasting co-movement between innovative and traditional financial assets based on complex network and machine learning28 cited