Lyócsa, Štefan; Výrost, Tomáš; Baumöhl, Eduard - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 16, pp. 4147-4158
We demonstrate the economic relevance of minimum spanning trees (MSTs) constructed from dynamic conditional correlations (DCC) for a sample of S&P 100 constituents. An empirical comparison of MST properties shows that using the standard approach of rolling (or sliding-window) correlations yields...