Lim, Kyuseong; Kim, Min Jae; Kim, Sehyun; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 407 (2014) C, pp. 66-75
We analyzed the dependence structure of the credit and stock market using random matrix theory and network topology. The dynamics of both markets have been spotlighted throughout the subprime crisis. In this study, we compared these two markets in view of the market-wide effect from random...