Vodenska, Irena; Becker, Alexander P.; Zhou, Di; … - In: Risks 4 (2016) 2, pp. 1-15
We analyze the daily returns of stock market indices and currencies of 56 countries over the period of 2002-2012. We build a network model consisting of two layers, one being the stock market indices and the other the foreign exchange markets. Synchronous and lagged correlations are used as...