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Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis

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  • Abdelwahab Allali
  • Amor Oueslati
  • Abdelwahed Trabelsi

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  • Abdelwahab Allali & Amor Oueslati & Abdelwahed Trabelsi, 2011. "Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(3), pages 319-344, September.
  • Handle: RePEc:kap:apfinm:v:18:y:2011:i:3:p:319-344
    DOI: 10.1007/s10690-010-9133-1
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    3. Shamsuddin, Abul F. M. & Kim, Jae H., 2003. "Integration and interdependence of stock and foreign exchange markets: an Australian perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 237-254, July.
    4. Morana, Claudio & Beltratti, Andrea, 2008. "Comovements in international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 31-45, February.
    5. Hasbrouck, Joel, 1995. "One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-1199, September.
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    12. Daniel Yasumasa Takahashi & Luiz Antonio Baccal & Koichi Sameshima, 2007. "Connectivity Inference between Neural Structures via Partial Directed Coherence," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(10), pages 1259-1273.
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    1. Papana, A. & Kyrtsou, K. & Kugiumtzis, D. & Diks, C.G.H., 2014. "Identifying causal relationships in case of non-stationary time series," CeNDEF Working Papers 14-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    2. Sandoval, Leonidas, 2012. "Pruning a minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2678-2711.
    3. Gao, Wei & Zhao, Hongxia, 2013. "Conditional independence graph for nonlinear time series and its application to international financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(10), pages 2460-2469.

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