Goswami, B.; Ambika, G.; Marwan, N.; Kurths, J. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 18, pp. 4364-4376
Financial data has been extensively studied for correlations using Pearson’s cross-correlation coefficient ρ as the point of departure. We employ an estimator based on recurrence plots — the correlation of probability of recurrence (CPR) — to analyze connections between nine stock indices...
