create a website

Correlation of financial markets in times of crisis. (2011). SANDOVAL JUNIOR, LEONIDAS ; Italo De Paula Franca, .
In: Papers.
RePEc:arx:papers:1102.1339.

Full description at Econpapers || Download paper

Cited: 4

Citations received by this document

Cites: 158

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. A Clustering Algorithm for Correlation Quickest Hub Discovery Mixing Time Evolution and Random Matrix Theory. (2022). Stynes, David ; Dominguez, Alejandro Rodriguez.
    In: Papers.
    RePEc:arx:papers:2210.03988.

    Full description at Econpapers || Download paper

  2. Research on spatial economic structure for different economic sectors from a perspective of a complex network. (2013). Hu, Sen ; Yang, Hualei ; Cai, Boliang .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:17:p:3682-3697.

    Full description at Econpapers || Download paper

  3. A Map of the Brazilian Stock Market. (2013). SANDOVAL JUNIOR, LEONIDAS.
    In: Papers.
    RePEc:arx:papers:1107.4146.

    Full description at Econpapers || Download paper

  4. Systemic risk in Taiwan stock market. (2011). Sheu, Her-Jiun ; Cheng, Chien-Ling .
    In: Journal of Business Economics and Management.
    RePEc:taf:jbemgt:v:13:y:2011:i:5:p:895-914.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. A. Abdelwahab, O. Amor, and T. Abdelwahed, The analysis of the interdependence structure in international financial markets by graphical models, International Research Journal of Finance and Economics 15 (2008) 291-306.
    Paper not yet in RePEc: Add citation now

  2. A. Ang and G. Bekaert, International asset allocation with regime shifts, The Review of Financial Studies 15 (2002) 1137-1187.

  3. A. Ang and J. Chen, Asymmetric correlations of equity portfolios, Journal of Financial Economics 63 (2002) 443-494.
    Paper not yet in RePEc: Add citation now
  4. A. Chakraborti, An outlook on correlations in stock prices, Econophysics of Stock and other Markets -Proceedings of the Econophys-Kolkata II (2007) Springer Milan.
    Paper not yet in RePEc: Add citation now

  5. A. Chakraborti, M. Patriarca, and M.S. Santhanam, Financial time-series analysis: a brief overview, Proceedings of the International Workshop Econophys-Kolkata III (2007) Springer, Milan.

  6. A. Namaki, G.R. Jafari, and R. Raei, Comparing TEPIX as an emerging market with efficiet market by Random Matrix Theory, preprint (2010).
    Paper not yet in RePEc: Add citation now

  7. A.C.R. Martins, Non-stationary correlation matrices and noise, Physica A 379 (2007) 552-558.

  8. A.C.R. Martins, Random but not so much. A parametrization for the returns and correlation matrix of financial time series, Physica A 383 (2007) 527-532.

  9. A.G. Orlov, A cospectral analysis of exchange rate comovements during Asian financial crisis, J. of Int. Financial Markets, Institutions and Money 19 (2009), 742-758.

  10. B. Podobnik, K. Matia, A. Chessa, P.C. Ivanov, Y. Lee, and H.E. Stanley, Time evolution of stochastic processes with correlations in the variance: stability in powerlaw tails of distributuions, Physica A 300 (2001) 300-309.

  11. B. Podobnik, P.C. Iavanov, Y. Lee, A. Chessa, and H.E. Stanley, Systems with correlations in the variance: generating power-law tails in probability distributions, Europhysics Letters 50 (2000) 711.

  12. B. Podobnik, P.C. Ivanov, Y. Lee, A. Chessa, and H.E. Stanley, Systems with correlations in the variance: generating power law tails in probability distributions, Europhys. Lett. 50 (2000) 711-717.
    Paper not yet in RePEc: Add citation now
  13. B. Rosenow, V. Plerou, P. Gopikrishnan, and H.E. Stanley, Portfolio optimization and the random magnet problem, Europhys. Lett. 59 (2002) 500.
    Paper not yet in RePEc: Add citation now
  14. B. Rosenow, V. Plerou, P. Gopikrishnan, L.A.N. Amaral, and H.E. Sanley, Application of Random Matrix Theory to study cross-correlations of stock prices, Int. J. of Theoret. and Appl. Finance 3 (2002) 399-403.
    Paper not yet in RePEc: Add citation now
  15. B. Solnik and J. Roulet, Dispersion as cross-sectional correlation, Financial Analyst Journal 56 (2000) 54-61.
    Paper not yet in RePEc: Add citation now
  16. B. Solnik, C. Boucrelle, and Y. Le Fur, International market correlation and volatility, Financial Analysts Journal 52 (1996) 17-34.
    Paper not yet in RePEc: Add citation now

  17. C. Biely and S. Thurner, Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series, Quantitative Finance 8 (2008) 705-722.

  18. C. Borghesi, M. Marsili, and S. Miccich`e, Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode, Phys. Rev. E 76 (2007), 026104.

  19. C. Coronnello, M. Tumminello, F. Lillo, S. Micchich`e, and R.N. Mantegna, Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis, Proceedings of the SPIE, vol. 6601, 66010T (2007).
    Paper not yet in RePEc: Add citation now

  20. C. Coronnello, M. Tumminello, F. Lillo, S. Micchich`e, and R.N. Mantegna, Sector identification in a set of stock return time series traded at the London Stock Exchange, Acta Phys. Pol. B 36 (2005) 2653-2679.

  21. C. Eom, G. Oh, W.-S. Jung, H. Jeong, and S. Kim, Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series, Physica A 388 (2009), 900-906.

  22. C. Genovese and R. Ren`o, Modeling international market correlations with high frequency data, in Correlated Data Modelling 2004, Franco Angeli Editore, Milano, Italy (2008) 99-113.
    Paper not yet in RePEc: Add citation now

  23. C.A. Ball and W.N. Torous, Stochastic correlation across international stock markets, Journal of Empirical Finance 7 (2000) 373-388.

  24. C.B. Erb, C.R. Harvey, and T.E. Viskanta, Forecasting international equity correlations, Financial Analyst Journal (November-December) (1994) 32-45.
    Paper not yet in RePEc: Add citation now
  25. C.M. Jarque, and A.K. Bera, A test for normality of observations and regression residuals, International Statistical Review, Vol. 55, No. 2, 1987, pp. 163-172.
    Paper not yet in RePEc: Add citation now

  26. D. Baur and N. Schulze, Coexceedances in financial markets--a quantile regression analysis of contagion, Emerging Markets Review 6 (2005), 21-43.

  27. D. Baur, and R.A. Fry, Multivariate contagion and interdependence, J. of Asian Economics 20 (2009), 353-366.

  28. D. Garlaschelli, T. Di Matteo, T. Aste, G. Caldarelli, and M.I. Loffredo, Interplay between topology and dynamics in the World Trade Web, Europ. Phys. J. B 57 (2007) 159-164.

  29. D. Wilcox and T. Gebbie, An analysis of cross-correlations in an emerging market, Physica A 375 (2007) 584-598.

  30. D.J. Fenn, M.A. Porter, P.J. Mucha, M. McDonald, S. Williams, N.F. Johnson, and N.S. Jones, Dynamical clustering of exchange rates, preprint (2010) arXiv:0905.4912v2.

  31. D.J. Fenn, M.A. Porter, S. Williams, M. McDonald, N.F. Johnsn, and N.S. Jones, Temporal evolution of financial market correlations, preprint (2010), arXiv:1011.3225v1.
    Paper not yet in RePEc: Add citation now
  32. E. P. Wigner, Characteristic vectors of bordered matrices with infinite dimensions, Ann. Math. 62 (1955), 548-564.
    Paper not yet in RePEc: Add citation now
  33. E. P. Wigner, On the distribution of the roots of certain symmetric matrices, Ann. Math. 67 (1958), 325-327.
    Paper not yet in RePEc: Add citation now

  34. E. Pantaleo, M. Tumminello, F. Lillo, and R.S. Mantegna, When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators, Working paper (2010) arXiv:1004.4272v1.

  35. E.J. Elton, M.J. Gruber, S.J. Brown, and W. Goetzmann, Modern Portfolio Theory and Investment Analysis, Eigth Edition , (2009) Wiley.
    Paper not yet in RePEc: Add citation now

  36. F. Abergel and M. Politi, Optimizing a basket against the efficient market hypothesis, preprint (2010) arXiv:1006.5230v1.

  37. F. Abergel, N. Huth, and I.M. Toje, Financial bubbles analysis with a cross-sectional estimator, (2009) arXiv:0909.2885v1.

  38. F. Lillo and J.D. Farmer, The long memory of the efficient market, Studies in Nonlinear Dynamics & Econometrics 8 (2004) 1-33.

  39. F. Lillo and R.N. Mantegna, Symmetry alteration on ensemble return distribution in crash and rally days of financial markets, European Phys. J. B 15 (2000) 603-606.

  40. F. Lillo, G. Bonanno, and R.N. Mantegna, Variety of stock returns in normal and extreme market days: the August 1998 crisis, Proceedings of Empirical Science of Financial Fluctuations, Econophysics on the Horizon, Edited by H. Takayasu (2001).

  41. F. Longin and B. Solnik, Correlation structure of international equity markets during extremely volatile periods, Le Cashiers de Reserche, HEC Paris 646 (1999).
    Paper not yet in RePEc: Add citation now

  42. F. Longin and B. Solnik, Extreme correlation of international equity markets, The Journal of Finance 56 (2001) 649-675.

  43. F. Longin and B. Solnik, Is the correlation in international equity returns constant: 1960-1990?, J. of Int. Money and Finance 14 (1995) 3-26.

  44. F. Michael and M.D. Johnson, Financial market dynamics, Physica A 320 (2003) 525-534.

  45. G. Bekaert and C.R. Harvey, Time-varying world market integration, The Journal of Finance 1 (1995) 403-444.

  46. G. Biroli, J-P Bouchaud, and M. Potters, The student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy, Acta Phys. Pol. B 38 (2007) 4009-4026.

  47. G. Birolli, J-P Bouchaud, and M. Potters, On the top eigenvalue of heavy-tailed random matrices, Europhysics Letters 78 (2007) 10001.1-10001.5.
    Paper not yet in RePEc: Add citation now

  48. G. Bonanno, F. Lillo, and R.N. Mantegna, High-frequency cross-correlation in a set of stocks, Quantitative Finance 1 (2001) 96-104.

  49. G. Bonanno, F. Lillo, and R.N. Mantegna, Levels of complexity in financial markets, Physica A 299 (2001) 16-27.

  50. G. Bonanno, G. Caldarelli, F. Lillo, S. Miccich`e, N. Vandewalle, and R.N. Mantegna, Networks of equities in financial markets, The European Phys. J. B 38, (2004) 363371.

  51. G. Bonanno, N. Vandewalle, and R.N. Mantegna, Taxonomy of stock market indices, Phys. Rev. E 62, (2000) R7615R7618.
    Paper not yet in RePEc: Add citation now

  52. G. Corsetti, M. Pericoli, and M. Sbracia, Some contagion, some interdependence. More pitfalls in tests of financial contagion, J. of Int. Money and Finance 24 (2005), 1177-1199.

  53. G. de Santis and B. Gerard, International asset pricing and portfolio diversification with time-varying risk, The Journal of Finance 52 (1997) 1881-1912.

  54. G. Fagiolo, The international-trade network: gravity equations and topological properties, J. of Economic Interaction and Coordination 5 (2010), 1-25.

  55. G. Oh, C. Eom, F. Wang, W-S Jung, H.E. Stanley, and S. Kim, Statistical properties of cross-correlation in the Korean stock market, Eur. Phys. J. B 79 (2011), 55-60.

  56. G. Papp, S. Pafka, N. Nowak, and I. Kondor, Random Matrix Filtering in Portfolio Optimization, Acta Physica Polonica B 36 (2005) 2757-2766.

  57. H. Jang and W. Sul, The Asian financial crisis and the co-movement of Asian stock markets, Journal of Asian Economics 13 (2002) 94-104.

  58. H.W. Lilliefors, On the Komogorov-Smirnov test for normality with mean and variance unknown, Journal of the American Statistical Association, vol. 62, 1967, pp. 399-402.
    Paper not yet in RePEc: Add citation now

  59. I. Meric and G. Meric, Co-movements of European equity markets before and after the 1987 crash, Multinational Finance Journal 1 (1997) 137-152.

  60. I. Meric, S. Kim, J.H. Kim, and G. Meric, Co-movements of U.S., U.K., and Asian stock markets before and after September 11, 2001, Journal of Money, Investiment and Banking 3 (2008) 47-57.
    Paper not yet in RePEc: Add citation now

  61. I.I. Dimov, P.N. Kolm, L. Maclin, and D.Y.C. Shiber, Hidden noise structure and random matrix models of stock correlations, (2009) arXiv:0909.1383v3.

  62. J-P Bouchaud, J.D. Farmer, and F. Lillo, How markets slowly digest changes in supply and demand, Handbook of financial markets: dynamics and evolution. Editors: H. Thorsten and K. Schenk-Hoppe (2008) Elsevier: Academic Press.

  63. J-P Bouchaud, L. Laloux, M.A. Miceli, and M. Potters, Large dimension forecasting models and random singular value spectra, European Physical Journal B 2 (2007) 201-207.

  64. J-P. Onnela, A. Chakraborti, and K. Kaski, Dynamics of market correlations: taxonomy and portfolio analysis, Phys. Rev. E 68 (2003) 056110.
    Paper not yet in RePEc: Add citation now
  65. J. Ammer and J. Mei, Measuring international economic linkages with stock market data, (1993) Board of Governors of the Federal Reserve System, International finance discussion papers, number 449.
    Paper not yet in RePEc: Add citation now

  66. J. He and M.W. Deem, Structure response in the world trade network, Phys. Rev. Lett. 105 (2010), 198701-1 to 198701-4.

  67. J. Knif, J. Kolari, and S. Pynnonen, What drives correlation between stock market returns?, IMF Working Paper WP/07/157 (2007).
    Paper not yet in RePEc: Add citation now

  68. J. Kwapi`en, S. Drozdz, A.Z. Gorski, and P. Oswiecimka, Asymmetric matrices in an analysis of financial correlations, Acta Physica Polonica B 37 (2006) 3039-3048.

  69. J. Kwapi`en, S. Drozdz, and P. Oswiecimka, The bulk of the stock market correlation matrix is not pure noise, Physica A 359 (2006) 589-606.
    Paper not yet in RePEc: Add citation now

  70. J. Kwapien, S. Gworek, and S. Drozdz, Structure and evolution of the foreign exchange networks, Acta Physica Polonica B 40 (2009), 175-194.

  71. J. Kwapien, S. Gworek, S. Drozdz, and A. Gorski, Analysis of a network structure of the foreign currency exchange market, J. of Economic Interaction and Coordination 4 (2009), 55-72.

  72. J. Maskawa and W. Souma, Large correlations as a signal of instability in stock market, peprint (2010).
    Paper not yet in RePEc: Add citation now
  73. J.-P. Onnela, A. Chakraborti, and K. Kaski, Dynamics of market correlations: taxonomy and portfolio analysis, Phys. Rev. E 68 (2003) 1-12.
    Paper not yet in RePEc: Add citation now
  74. J.-P. Onnela, A. Chakraborti, K. Kaski, and A. Kanto, Asset trees and asset graphs in financial markets, Physica Scripta T106 (2003) 48-54.
    Paper not yet in RePEc: Add citation now

  75. J.-P. Onnela, A. Chakraborti, K. Kaski, and J. Kertesz, Dynamic asset trees and Black Monday, Physica A 324 (2003) 247-252.

  76. J.-P. Onnela, A. Chakraborti, K. Kaski, and J. Kertesz, Dynamic asset trees and Black Monday, Physica A 324 (2003) 247-252.
    Paper not yet in RePEc: Add citation now
  77. J.-P. Onnela, A. Chakraborti, K. Kaski, J. Kertesz, and A. Kanto, Asset trees and asset graphs in financial markets, Phys. Scripta T 106 (2003) 48-54.
    Paper not yet in RePEc: Add citation now

  78. J.-P. Onnela, K. Kaski, and J. Kertesz, Clustering and information in correlation based financial networks, Eur. Phys. J. B 38 (2004) 353-362.

  79. J.C. Wong, H. Lian, and S.A. Cheong, Detecting macroeconomic phases in the Dow Jones Industrial Average time series, Physica A 388 (2009), 4635-4645.

  80. J.D. Farmer, L. Gillemot, F. Lillo, S. Mike, and A. Sen, What really causes large price changes?, Quantitative Finance 4 (2004) 383-397.

  81. J.D. Noh, A model of correlations in stock markets, Phys. Rev. E 61 (2000) 5981.
    Paper not yet in RePEc: Add citation now

  82. J.G. Brida and W.A. Risso, Multidimensional minimal spanning tree: the Dow Jones case, Physica A 387 (2008) 5205-5210.

  83. K. Forbes and R. Rigobon, No contagion, only interdependence: measuring stock market co-movements, Journal of Finance 57 (2002) 2223-2261.
    Paper not yet in RePEc: Add citation now
  84. K.M. Lee, J.-S. Yang, J. Lee, K.-I. Goh, and I.- M. Kim, Impact of the topology of global macroeconomic network on the spreading of economic crises, preprint (2010), arXiv:1011.4336v1.
    Paper not yet in RePEc: Add citation now
  85. L. Borland, Statistical signatures in times of panic: markets as a self-organizing system, (2010) arXiv:0908.0111v2.
    Paper not yet in RePEc: Add citation now

  86. L. Laloux, P. Cizeau, J-P Bouchaud, and M. Potters, Noise dressing of financial correlation matrices, Phys. Rev. Letters 83 (1999) 1467-1470.

  87. L. Laloux, P. Cizeau, M. Potters, and J-P Bouchaud, Random Matrix Theory and financial correlations, Mathematical Models and Methods in Applied Sciences (2000).

  88. L. Sandoval Jr. and I. De P. Franca, Shocks in financial markets, price expectation, and damped harmonic oscillators, preprint (2011).
    Paper not yet in RePEc: Add citation now
  89. L. Sandoval Jr., Evolution of hierarchies and clustering of international financial market indices in times of crisis, preprint (2011).
    Paper not yet in RePEc: Add citation now

  90. M. Ausloos and R. Lambiotte, Clusters or networks of economies? A macroeconomy study through gross domestic product, Physica A 382 (2007) 16-21.

  91. M. Eryigit and R. Eryigit, Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series, Physica A 388 (2009), 900-906.
    Paper not yet in RePEc: Add citation now
  92. M. Karanasos, The correlation structure of some financial time series models, Quantitative and Qualitative Analysis in Social Sciences 1 (2007) 71-87.
    Paper not yet in RePEc: Add citation now

  93. M. Keskin, B. Deviren, and Y. Kocalkaplan, Topology of the correlation networks among major currencies using hierarchical structure methods, Physica A 390 (2011), 719-730.

  94. M. King and S. Wadhwani, Transmission of volatility between stock markets, (1989) National Bureau of Economic Research working paper series, number 2910.

  95. M. King, E. Sentana, and S. Wadhwani, Volatility and links between national stock markets, (1990) National Bureau of Economic Research working paper series, number 3357.

  96. M. L. Mehta, Random Matrices, (2004) Academic Press.
    Paper not yet in RePEc: Add citation now

  97. M. Potters, J-P Bouchaud, and L. Laloux, Financial applications of Random Matrix Theory: old laces and new pieces, Proceedings of the Cracow conference on Applications of Random Matrix Theory to economy and other complex systems (2005).

  98. M. Rubinstein, Comments on the 1987 stock market crash: eleven years later, Risks in Accumulation Products, Society of Actuaries (2000).
    Paper not yet in RePEc: Add citation now

  99. M. Tumminello, F. Liloo, and R.N. Mantegna, Correlation, hierarchies, and networks in financial markets, Journal of Economic Behavior & Organizations (2010) Article in press.

  100. M. Tumminello, F. Liloo, and R.N. Mantegna, Kullback-Leiber distance as a measure of the information filtered from multivariate data, Phys. Rev. E 76 (2007) 031123.
    Paper not yet in RePEc: Add citation now

  101. M. Tumminello, F. Liloo, and R.N. Mantegna, Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leiber distance, Acta Physica Polonica B 38 (2007) 4079-4088.

  102. M. Tumminello, T. Di Matteo, T. Aste, and R.N. Mantegna, Correlation based networks of equity returns sampled at different time horizons, Eur. Phys. J. B 55 (2007) 209217.

  103. M.C. Munnix, R. Schafer, and T. Guhr, Compensating asynchrony effects in the calculation of financial correlations, Physica A 389 (2010) 767-779.

  104. P. Cizeau, M. Potters, and J-P Bouchaud, Correlation structure of extreme stock returns, Quantitative Finance 1 (2001) 217-222.

  105. P. Gopikrishnan, B. Rosenow, V. Plerou, and H.E. Stanley, Identifying business sectors from stock price flutuations, Phys. Rev E 64 (2001) 35106.
    Paper not yet in RePEc: Add citation now
  106. P. Gopikrishnan, B. Rosenow, V. Plerou, and H.E. Stanley, Quantifying and interpreting collective behavior in financial markets, Phys. Rev. E 64 (2001).
    Paper not yet in RePEc: Add citation now

  107. P. Hartmann, S. Straetmans, and C.G. de Vries, Asset market linkages in crisis periods, (2001) Tinbergen Institute Discussion Paper, TI 2001-71/2.

  108. P. Hartmann, S. Straetmans, and C.G. De Vries, Asset market linkages in crisis periods, The Review of Economics and Statitstics 86 (2004), 313-326.

  109. P. Ormerod, Random Matrix Theory and the evolution of business cycle synchronisation, 1886-2006, Economics E-Journal 2 (2008).

  110. P. Ormerod, The Convergence of European Business Cycles 1980-2004, Acta Physica Polonica B 36 (2005) 2747-2756.

  111. P. Repetowicz and P. Richmond, Removing noise from correlation in multivariate stock price data, (2004) arXiv:cond-mat/0403177v1.
    Paper not yet in RePEc: Add citation now

  112. P. Sieczka and J.A. Holyst, Correlations in commodity markets, Physica A 388 (2009), 1621-1630.

  113. P. Weber and B. Rosenow, Large stock price changes: volume or liquidity?, Quantitative Finance 6 (2006) 7.

  114. P.C. Ivanov, B. Podobnik, Y. Lee, and H.E. Stanley, Truncaded Levy process with scale-invariant behavior, Physica A 299 (2001) 154-160.
    Paper not yet in RePEc: Add citation now
  115. R. Campbell and K. Koedijk, Covariance and correlation in international equity returns: a value-at-risk approach, (2000).
    Paper not yet in RePEc: Add citation now

  116. R. Coelho, C.G. Gilmore, B. Lucey, P. Richmond, and S. Hutzler, The evolution of interdependence in world equity markets - evidence from minimum spanning trees, Physica A 376 (2007) 455-466.

  117. R. Marshal and A. Zeevi, Beyond correlation: extreme co-movements between financial assets, Working Paper, Columbia Business School (2002).
    Paper not yet in RePEc: Add citation now

  118. R. Rak, J. Kwapien, S. Drozdz, and P. Oswiecimka, Cross-correlations in Warsaw Stock Exchange, Acta Physica Polonica A 114 (2008) 561-568.

  119. R. Rak, S. Drozdz, J. Kwapien, and P. Oswiecimka, Correlation matrix decomposition of WIG20 intraday fluctuations, Acta Physica Polonica B 37 (2006) 3123-3132.

  120. R. Rigobon, On the measurement of the international propagation of shocks: is the transmission stable?, J. of Int. Economics 61 (2003), 261-283.

  121. R.K. Pan and S. Sinha, Collective behavior of stock price movements in an emerging market, Phys. Rev. E 76 (2007) 1-9.

  122. R.N. Mantegna, Hierarchical structure in financial markets, The European Phys. J. B 11 (1999) 193.

  123. S. Drozdz, F. Grumer, R. Ruf, and J. Speth, Dynamics of competition between collectivity and noise in the stock market, Physica A 287 (2000), 440-449.
    Paper not yet in RePEc: Add citation now
  124. S. Drozdz, F. Grummer, F. Ruf, and J. Speth, Towards identifying the world stock market crosscorrelations: DAX versus Dow Jones, Physica A 294 (2001), 226-234.
    Paper not yet in RePEc: Add citation now
  125. S. Drozdz, J. Kwapien, and J. Speth, Coherent patterns in nulcei and in financial markets, preprint (2010), arXiv:1009.1105v1.
    Paper not yet in RePEc: Add citation now

  126. S. Maslov, Measures of globalization based on cross-correlations of world financial indices, Physica A 301 (2001) 397-406.

  127. S. Micchich`e, G. Bonanno, F. Lillo, and R.N. Mantegna, Degree stability of a minimum spanning tree of price return and volatility, Physica A 324 (2003) 66-73.

  128. S. Pafka and I. Kondor, Estimated correlation matrices and portfolio optimization, Physica A 343 (2004) 623-634.

  129. S. Pafka and I. Kondor, Noisy covariance matrices and portfolio optimization II, Physica A 319 (2003) 487-494.

  130. S. Pafka and I. Kondor, Noisy covariance matrices and portfolio optimization, Eur. Phys. J. B 27 (2002) 277-280.

  131. S. Sharifi, M. Crane, A. Shamaier, and H. Ruskin, Random matrix theory for portfolio optimization: a stability approach, Physica A 335 (2004) 629-643.

  132. S. Sinha and R.K. Pan, Uncovering the internal structure of the Indian financial market: cross-correlation behavior in the NSE, in Econophysics of markets and business networks, Springer (2007) 215-226.

  133. S.D. Bekiros and D.A. Goergoutsos, Estimating the correlation of international equity markets with multivariate extreme and GARCH, CeNDEF Working paper 06-17, University of Amsterdam (2001).

  134. S.J. Hyde, D.P. Bredin, and N. Nguyen, Correlation dynamics between Asia-Pacific, EU and US stock returns, Munich Personal RePEc Archive (2007), number 9681.

  135. S.M. Bartram and Y-H Wang, Another look at the relationship between cross-market correlation and volatility, Finance Research Letters 2 (2005) 75-88.

  136. S.R.S. Durai and S.N. Bhaduri, Correlation dynamics in equity markets. Evidence from India, (NSE) Working Paper No 51, (2009).

  137. T. Aste and T. Di Matteo, Correlation filtering in financial time series, Noise and Fluctuations in Econophysics and Finance, Proceedings of the SPIE 5848 (2005) 100-109.
    Paper not yet in RePEc: Add citation now

  138. T. Baig and I. Goldfajn, Financial market contagion in the Asian Crisis, (1999) IMF Staff Papers 46.

  139. T. Conlon, H.J. Ruskin, and M. Crane, Cross-correlations dynamics in financial time series, Physica A 388 (2009) 705-714.
    Paper not yet in RePEc: Add citation now

  140. T. Conlon, H.J. Ruskin, and M. Crane, Random Matrix Theory and fund of funds portfolio optimization, Physica A 382 (2007) 565-576.

  141. T. Evans and D.G. McMillan, Financial co-movements and correlation: evidence from 33 international stock market indices, International Journal of Banking, Accounting and Finance (2009) 215-241.
    Paper not yet in RePEc: Add citation now

  142. T. Flavin, M.J. Hurley, and F. Rousseau, Explaining stock market correlation: a gravity model approach, The Manchester School 70 (2002) 87-106.

  143. T.C. Chianga, B.N. Jeonb, and H. Lic, Dynamic correlation analysis of financial contagion: Evidence from Asian markets, J. of Int. Money and Finance 26 (2007), 1206-1228.
    Paper not yet in RePEc: Add citation now

  144. V. Kulkarni and N. Deo, Correlation and volatility of an Indian stock market: a random matrix approach, Eur. Phys. J. B 60 (2007) 101-109.

  145. V. Plerou, P. Gopikrishman, B. Rosenow, L. A.N. Amaral, and H. E. Stanley, A Random Matrix Theory approach to financial cross-correlations, Physica A 287 (2000) 374-382.

  146. V. Plerou, P. Gopikrishman, B. Rosenow, L. A.N. Amaral, and H. E. Stanley, Scaling of the distribution of fluctuations of financial market indices, Phys. Rev. E 60 (1999) 5306-5316.

  147. V. Plerou, P. Gopikrishman, B. Rosenow, L. A.N. Amaral, and H. E. Stanley, Universal and non-universal properties of cross-correlations in financial time series, Phys. Lett. 83 (1999) 1471-1474.

  148. V. Plerou, P. Gopikrishman, B. Rosenow, L. A.N. Amaral, T. Guhr, and H. E. Stanley, Random matrix approach to cross-correlations in financial data, Phys. Rev. E 65 (2002) 066126.
    Paper not yet in RePEc: Add citation now

  149. V. Tola, F. Lillo, M. Gallegati, and R.N. Mantegna, Cluster analysis for portfolio optimization, Journal of Economic Dynamics and Control 32 (2008) 235-258.

  150. V.A. Marenko and L.A. Pastur, USSR-Sb 1 (1967) 457-483.
    Paper not yet in RePEc: Add citation now
  151. V.D. Skintzi, Dynamic correlation models, (2003).
    Paper not yet in RePEc: Add citation now
  152. W-K Wong, J. Penm, R.D. Terrell, and K.Y.C. Lim, The relationship between stock markets of major developed countries and Asian emerging markets, Journal of Applied Mathematics and Decision Sciences 8 (2004) 201-218.
    Paper not yet in RePEc: Add citation now

  153. W-L Lin, R.F. Engle, and T. Ito, Do bulls and bears move across borders? International transmission of stock returns and volatility as the world turns, Review of Financial Studies 7 (1994) 507-538.

  154. Y. Malevergne and D. Sornette, Investigating extreme dependences: concepts and tools, Extreme Financial Risks (From dependence to risk management) (2006) Springer, Heidelberg.

  155. Y. Malevergne and D. Sornette, Investigating extreme dependences: concepts and tools, Extreme Financial Risks (From dependence to risk management) (2006) Springer, Heidelberg.
    Paper not yet in RePEc: Add citation now

  156. Y. Zhang, G.H.T. Lee, J.C. Wong, J.L. Kok, M. Prusty, and S.A. Cheong, Will the US economy recover in 2010? A minimal spanning tree study, to be published in Physica A (2011).

  157. Y.W. Goo, T.W. Lian, W.G. Ong, W.T. Choi, and S.A. Cheong, Financial atoms and molecules, preprint (2009) arXiv:0903.2009v1.

  158. Z. Bodie, A. Kane, and A.J. Marcus, Investments, Eigth Edition , (2009) McGraww-Hill/Irwin.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach. (2021). Tiwari, Aviral ; Raheem, Ibrahim ; Hille, Erik.
    In: MPRA Paper.
    RePEc:pra:mprapa:106684.

    Full description at Econpapers || Download paper

  2. Measuring contagion between energy market and stock market during financial crisis: A copula approach. (2012). Wei, YU ; Wen, Xiaoqian ; Huang, Dengshi.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:5:p:1435-1446.

    Full description at Econpapers || Download paper

  3. Time-varying performance of international mutual funds. (2012). Turtle, H. J. ; Zhang, Chengping.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:3:p:334-348.

    Full description at Econpapers || Download paper

  4. Moments of multivariate regime switching with application to risk-return trade-off. (2012). Taamouti, Abderrahim.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:2:p:292-308.

    Full description at Econpapers || Download paper

  5. Contagion in International Stock Markets during the Sub Prime Mortgage Crisis. (2012). Lee, Hsien-Yi.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2012-01-6.

    Full description at Econpapers || Download paper

  6. Inflation hedging portfolios in different regimes. (2011). Signori, Ombretta ; Briere, Marie.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-08.

    Full description at Econpapers || Download paper

  7. Components of bull and bear markets: bull corrections and bear rallies. (2010). Song, Yong ; McCurdy, Thomas ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-402.

    Full description at Econpapers || Download paper

  8. Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies. (2008). Hyde, Stuart ; Bredin, Don.
    In: European Financial Management.
    RePEc:bla:eufman:v:14:y:2008:i:2:p:315-346.

    Full description at Econpapers || Download paper

  9. Managing international portfolios with small capitalization stocks. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-030.

    Full description at Econpapers || Download paper

  10. The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns. (2007). Guidolin, Massimo ; Na, Carrie Fangzhou.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-059.

    Full description at Econpapers || Download paper

  11. What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model. (2007). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-029.

    Full description at Econpapers || Download paper

  12. Small caps in international equity portfolios: the effects of variance risk. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-075.

    Full description at Econpapers || Download paper

  13. Information processing and measures of integration: New York, London and Tokyo. (2006). Thorp, Susan ; Milunovich, George.
    In: Research Paper Series.
    RePEc:uts:rpaper:177.

    Full description at Econpapers || Download paper

  14. Structural versus Temporary Drivers of Country and Industry Risk. (2006). Inghelbrecht, Koen ; Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:06/413.

    Full description at Econpapers || Download paper

  15. Economic and Financial Crises and the Predictability of U.S. Stock Returns. (2006). Pierdzioch, Christian ; Kempa, Bernd ; Hartmann, Daniel.
    In: MPRA Paper.
    RePEc:pra:mprapa:561.

    Full description at Econpapers || Download paper

  16. Implied correlation from VaR. (2006). cotter, john ; Longin, Francois .
    In: MPRA Paper.
    RePEc:pra:mprapa:3506.

    Full description at Econpapers || Download paper

  17. Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures. (2006). Zhang, Xibin ; Silvapulle, Param.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2006-9.

    Full description at Econpapers || Download paper

  18. Shift versus traditional contagion in Asian markets. (2006). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp176.

    Full description at Econpapers || Download paper

  19. International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility. (2006). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp167.

    Full description at Econpapers || Download paper

  20. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-002.

    Full description at Econpapers || Download paper

  21. Selecting Copulas for Risk Management. (2006). Verbeek, Marno ; Kole, Erik ; Koedijk, Kees.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5652.

    Full description at Econpapers || Download paper

  22. Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency. (2006). Peel, David ; Minford, A. Patrick ; Meenagh, David.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5614.

    Full description at Econpapers || Download paper

  23. Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models. (2006). Georgoutsos, Dimitris ; Bekiros, Stelios.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:06-17.

    Full description at Econpapers || Download paper

  24. Structural versus Temporary Drivers of Country and Industry Risk. (2005). Inghelbrecht, Koen ; Baele, Lieven.
    In: International Finance.
    RePEc:wpa:wuwpif:0511005.

    Full description at Econpapers || Download paper

  25. Portfolio Selection with Two-Stage Preferences. (2005). Taboga, Marco.
    In: Finance.
    RePEc:wpa:wuwpfi:0506009.

    Full description at Econpapers || Download paper

  26. Asymmetric Risk and International Portfolio Choice. (2005). Thorp, Susan ; Milunovich, George.
    In: Research Paper Series.
    RePEc:uts:rpaper:160.

    Full description at Econpapers || Download paper

  27. Dynamic bond portfolio choice in a model with Gaussian diffusion regimes. (2005). João Liborio, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:11:y:2005:i:3:p:259-270.

    Full description at Econpapers || Download paper

  28. Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence. (2005). Wohar, Mark ; Rapach, David E..
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:329.

    Full description at Econpapers || Download paper

  29. Learning Under Ambiguity. (2005). Schneider, Martin ; Epstein, Larry.
    In: RCER Working Papers.
    RePEc:roc:rocher:497.

    Full description at Econpapers || Download paper

  30. Size and value anomalies under regime shifts. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-007.

    Full description at Econpapers || Download paper

  31. Optimal portfolio choice under regime switching, skew and kurtosis preferences. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-006.

    Full description at Econpapers || Download paper

  32. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-003.

    Full description at Econpapers || Download paper

  33. Density selection and combination under model ambiguity: an application to stock returns. (2005). D'Amico, Stefania.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-09.

    Full description at Econpapers || Download paper

  34. Measuring comovements by regression quantiles. (2005). Manganelli, Simone ; Cappiello, Lorenzo ; Gerard, Bruno.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005501.

    Full description at Econpapers || Download paper

  35. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (2005). Viceira, Luis ; Chacko, George.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4913.

    Full description at Econpapers || Download paper

  36. Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices. (2005). Sancetta, Alessio ; Nikanrova, Arina.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0516.

    Full description at Econpapers || Download paper

  37. Density Estimation and Combination under Model Ambiguity. (2004). D'Amico, Stefania.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:273.

    Full description at Econpapers || Download paper

  38. International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000. (2004). cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3538.

    Full description at Econpapers || Download paper

  39. The effect of the Euro on country versus industry portfolio diversification. (2004). Flavin, Thomas.
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n1411004.

    Full description at Econpapers || Download paper

  40. A Two-State Capital Asset Pricing Model with Unobservable States. (2004). Nilsson, Birger ; Hansson, Björn.
    In: Working Papers.
    RePEc:hhs:lunewp:2004_028.

    Full description at Econpapers || Download paper

  41. The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles. (2004). Manganelli, Simone ; Cappiello, Lorenzo ; Gerard, Bruno.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:77.

    Full description at Econpapers || Download paper

  42. Myopic Loss Aversion, Asymmetric Correlations, and the Home Bias. (2004). Carvalho, Carlos ; Amonlirdviman, Kevin .
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:61.

    Full description at Econpapers || Download paper

  43. That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds. (2004). Thorp, Susan.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:148.

    Full description at Econpapers || Download paper

  44. Are Vector Autoregressions an Accurate Model for Dynamic Asset Allocation?. (2004). Pearanda, Francisco.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2004_0419.

    Full description at Econpapers || Download paper

  45. Volatility Spillover Effects in European Equity Markets. (2003). Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:03/189.

    Full description at Econpapers || Download paper

  46. How do Regimes Affect Asset Allocation?. (2003). Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10080.

    Full description at Econpapers || Download paper

  47. Explaining movements in UK stock prices:. (2003). Sensier, Marianne ; Osborn, Denise ; Aslanidis, Nektarios.
    In: Working Papers.
    RePEc:crt:wpaper:0302.

    Full description at Econpapers || Download paper

  48. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, Mohammad.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_875.

    Full description at Econpapers || Download paper

  49. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, Mohammad.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0306.

    Full description at Econpapers || Download paper

  50. International diversification strategies. (2002). Del Negro, Marco ; Brooks, Robin.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2002-23.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 17:37:49 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.