A network approach to unravel asset price comovement using minimal dependence structure
Year of publication: |
June 2018
|
---|---|
Authors: | Carvalho, Pablo José Campos de ; Gupta, Aparna |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 91.2018, p. 119-132
|
Subject: | Minimum spanning tree | Non-stationarity | Asset price dynamics | Network analysis | Factor model | Theorie | Theory | CAPM | Netzwerk | Network | Börsenkurs | Share price |
-
Park, Beum-jo, (2014)
-
On the destabilizing nature of capital gains taxes
Dieci, Roberto, (2022)
-
Dynamic Networks and Asset Pricing
Buraschi, Andrea, (2012)
- More ...
-
Asset liability management for providers in spectrum markets
Carvalho, Pablo José Campos de, (2017)
-
Multivariate jump diffusion model with Markovian contagion
Carvalho, Pablo José Campos de, (2018)
-
The Cost of Shorting, Asymmetric Performance Reaction and the Price Response to Economic Shocks
Ornelas, José Renato Haas, (2015)
- More ...