Volatility-constrained correlation identifies the directionality of the influence between Japan’s Nikkei 225 and other financial markets
Year of publication: |
2014
|
---|---|
Authors: | Ochiai, Tomoshiro ; Nacher, Jose C. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 393.2014, C, p. 364-375
|
Publisher: |
Elsevier |
Subject: | Econophysics | Financial market | Data analysis | Correlation | Volatility | Multivariate stochastic model |
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