A review of two decades of correlations, hierarchies, networks and clustering in financial markets
We review the state of the art of clustering financial time series and the study of their
correlations alongside other interaction networks. The aim of the review is to gather in one …
correlations alongside other interaction networks. The aim of the review is to gather in one …
Covid-19 pandemic and spillover effects in stock markets: A financial network approach
This paper examines the impact of the COVID-19 pandemic on 51 major stock markets, both
emerging and developed. We isolated the countries susceptible to shock transmissions, and …
emerging and developed. We isolated the countries susceptible to shock transmissions, and …
Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic
Rapidly growing numbers of empirical papers assessing the financial effects of COVID-19
pandemic triggered an urgent need for a study summarising the existing knowledge of …
pandemic triggered an urgent need for a study summarising the existing knowledge of …
[HTML][HTML] Network analysis of global stock markets at the beginning of the coronavirus disease (Covid-19) outbreak
Abstract The Coronavirus (COVID-19) outbreak has become one of the biggest threats to the
global economy and financial markets. This study aims to analyze the effects of COVID-19 …
global economy and financial markets. This study aims to analyze the effects of COVID-19 …
Machine learning as an early warning system to predict financial crisis
This paper studies on “Early Warning Systems”(EWS) by investigating possible contagion
risks, based on structured financial networks. Early warning indicators improve standard …
risks, based on structured financial networks. Early warning indicators improve standard …
Correlation structure and evolution of world stock markets: Evidence from Pearson and partial correlation-based networks
GJ Wang, C Xie, HE Stanley - Computational Economics, 2018 - Springer
We construct a Pearson correlation-based network and a partial correlation-based network,
ie, two minimum spanning trees (MST-Pearson and MST-Partial), to analyze the correlation …
ie, two minimum spanning trees (MST-Pearson and MST-Partial), to analyze the correlation …
An overview of renewable energy companies in stock exchange: Evidence from minimal spanning tree approach
M Kazemilari, A Mardani, D Streimikiene… - Renewable Energy, 2017 - Elsevier
The renewable energy industry has the important role in overall growth in the worldwide
economy in the last two decades. This paper constitutes a first analysis on renewable …
economy in the last two decades. This paper constitutes a first analysis on renewable …
Correlation of financial markets in times of crisis
LS Junior, IDP Franca - Physica A: Statistical Mechanics and its …, 2012 - Elsevier
Using the eigenvalues and eigenvectors of correlations matrices of some of the main
financial market indices in the world, we show that high volatility of markets is directly linked …
financial market indices in the world, we show that high volatility of markets is directly linked …
Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities
We contribute to the growing literature on information flow among US equities, strategic
commodities (oil and gold) and Brazil, Russia, India, China and South Africa equities. Unlike …
commodities (oil and gold) and Brazil, Russia, India, China and South Africa equities. Unlike …
Multilayer information spillover networks analysis of China's financial institutions based on variance decompositions
GJ Wang, YY Chen, HB Si, C Xie… - International Review of …, 2021 - Elsevier
We propose multilayer information spillover networks, including return spillover layer,
volatility spillover layer, and extreme risk spillover layer in the variance decomposition …
volatility spillover layer, and extreme risk spillover layer in the variance decomposition …