Zhang, Yiting; Lee, Gladys Hui Ting; Wong, Jian Cheng; … - arXiv.org - 2010
We calculated the cross correlations between the half-hourly times series of the ten Dow Jones US economic sectors over the period February 2000 to August 2008, the two-year intervals 2002--2003, 2004--2005, 2008--2009, and also over 11 segments within the present financial crisis, to construct...