Cross correlations in an emerging market financial data
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DOI: 10.1016/j.physa.2006.10.074
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References listed on IDEAS
- Salomons, Roelof & Grootveld, Henk, 2002. "The equity risk premium: emerging versus developed markets," Research Report 02E45, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- repec:dgr:rugsom:02e45 is not listed on IDEAS
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Cited by:
- Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW Kiel).
- Linda Margarita Medina Herrera & Ernesto Pacheco Velázquez, 2011. "Comparando distancias en los mercados financieros mundiales," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 6(2), pages 88-98.
- Yusuf Yargı BAYDİLLİ & Şafak BAYIR & İlker TÜRKER, 2017. "A Hierarchical View of a National Stock Market as a Complex Network," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(1), pages 205-222.
- Gorban, Alexander N. & Smirnova, Elena V. & Tyukina, Tatiana A., 2010. "Correlations, risk and crisis: From physiology to finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3193-3217.
- Wang, Gang-Jin & Xie, Chi & Chen, Shou & Yang, Jiao-Jiao & Yang, Ming-Yan, 2013. "Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3715-3730.
- Tabak, Benjamin M. & Serra, Thiago R. & Cajueiro, Daniel O., 2010. "Topological properties of stock market networks: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3240-3249.
- A. N. Gorban & E. V. Smirnova & T. A. Tyukina, 2009. "Correlations, Risk and Crisis: From Physiology to Finance," Papers 0905.0129, arXiv.org, revised Aug 2010.
- Kocheturov, A. & Batsyn, M. & Pardalos, P., 2015. "Dynamics of Cluster Structures in Stock Market Networks," Journal of the New Economic Association, New Economic Association, vol. 28(4), pages 12-30.
- Goswami, B. & Ambika, G. & Marwan, N. & Kurths, J., 2012. "On interrelations of recurrences and connectivity trends between stock indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(18), pages 4364-4376.
- Stosic, Darko & Stosic, Dusan & Ludermir, Teresa & Stosic, Tatijana, 2016. "Correlations of multiscale entropy in the FX market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 52-61.
- Zhang, Yiting & Lee, Gladys Hui Ting & Wong, Jian Cheng & Kok, Jun Liang & Prusty, Manamohan & Cheong, Siew Ann, 2011. "Will the US economy recover in 2010? A minimal spanning tree study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2020-2050.
- Sitabhra Sinha & Raj Kumar Pan, 2007. "Uncovering the Internal Structure of the Indian Financial Market: Cross-correlation behavior in the NSE," Papers 0704.2115, arXiv.org.
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Keywords
Financial cross-correlations; Random matrix; Emerging markets; Istanbul Stock Exchange Market;All these keywords.
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