Evolvement of uniformity and volatility in the stressed global financial village
Download full text from publisher
Other versions of this item:
- Dror Y Kenett & Matthias Raddant & Thomas Lux & Eshel Ben-Jacob, 2012. "Evolvement of Uniformity and Volatility in the Stressed Global Financial Village," PLOS ONE, Public Library of Science, vol. 7(2), pages 1-8, February.
References listed on IDEAS
- Plerou, V & Gopikrishnan, P & Rosenow, B & Amaral, L.A.N & Stanley, H.E, 2000. "A random matrix theory approach to financial cross-correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 374-382.
- Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990.
"Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market,"
Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
- Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
- Engel, R.F. & Ito, T. & Lin, W-L., 1988. "Meteor Showers Or Heat Wages? Heteroskedastic Intra-Daily Volatility In A The Foreign Exchange Market," Papers 246, Minnesota - Center for Economic Research.
- Y. Shapira & D. Y. Kenett & E. Ben-Jacob, 2009. "The Index cohesive effect on stock market correlations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 72(4), pages 657-669, December.
- Dion Harmon & Marcus A. M. de Aguiar & David D. Chinellato & Dan Braha & Irving R. Epstein & Yaneer Bar-Yam, 2011. "Predicting economic market crises using measures of collective panic," Papers 1102.2620, arXiv.org.
- Bekaert, Geert & Harvey, Campbell R, 1995. "Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
- Dong-Ming Song & Michele Tumminello & Wei-Xing Zhou & Rosario N. Mantegna, 2011. "Evolution of worldwide stock markets, correlation structure and correlation based graphs," Papers 1103.5555, arXiv.org.
- Dror Y. Kenett & Yoash Shapira & Asaf Madi & Sharron Bransburg-Zabary & Gitit Gur-Gershgoren & Eshel Ben-Jacob, 2010. "Dynamics of Stock Market Correlations," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 4(3), pages 330-340, November.
- Michel Beine & Bertrand Candelon, 2011.
"Liberalisation and stock market co-movement between emerging economies,"
Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 299-312.
- Michel Beine & Bertrand Candelon, 2007. "Liberalization and Stock Market Co-Movement between Emerging Economies," CESifo Working Paper Series 2131, CESifo.
- Michel Beine & Bertrand Candelon, 2011. "Liberalisation and stock market co-movement between emerging economies," ULB Institutional Repository 2013/169589, ULB -- Universite Libre de Bruxelles.
- B. Goswami & G. Ambika & N. Marwan & J. Kurths, 2011. "On interrelations of recurrences and connectivity trends between stock indices," Papers 1103.5189, arXiv.org.
- Kristin J. Forbes & Roberto Rigobon, 2002.
"No Contagion, Only Interdependence: Measuring Stock Market Comovements,"
Journal of Finance,
American Finance Association, vol. 57(5), pages 2223-2261, October.
- Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
- Dror Y Kenett & Yoash Shapira & Asaf Madi & Sharron Bransburg-Zabary & Gitit Gur-Gershgoren & Eshel Ben-Jacob, 2011. "Index Cohesive Force Analysis Reveals That the US Market Became Prone to Systemic Collapses Since 2002," PLOS ONE, Public Library of Science, vol. 6(4), pages 1-8, April.
- King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994.
"Volatility and Links between National Stock Markets,"
Econometrica, Econometric Society, vol. 62(4), pages 901-933, July.
- Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.
- Carrieri, Francesca & Errunza, Vihang & Hogan, Ked, 2007. "Characterizing World Market Integration through Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(4), pages 915-940, December.
- Ahlgren, Niklas & Antell, Jan, 2010. "Stock market linkages and financial contagion: A cobreaking analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 157-166, May.
More about this item
Keywordsfinancial markets; comovement; financial crisis; stock correlations; networks;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G01 - Financial Economics - - General - - - Financial Crises
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:ifwkwp:1739. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - Leibniz Information Centre for Economics). General contact details of provider: http://edirc.repec.org/data/iwkiede.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.