Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis
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- Sandoval, Leonidas, 2012. "Pruning a minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2678-2711.
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More about this item
KeywordsTime series; Frequency domain analysis; Graphical models; Partial directed coherence; Granger causality; Instantaneous causality; Global Markov properties; Information transmission; International financial market; VAR model;
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