Sensoy, Ahmet; Tabak, Benjamin M. - In: Physica A: Statistical Mechanics and its Applications 414 (2014) C, pp. 387-402
This article proposes a new procedure to evaluate Asia Pacific stock market interconnections using a dynamic setting. Dynamic spanning trees (DST) are constructed using an ARMA–FIEGARCH–cDCC process. The main results show that: 1. the DST significantly shrinks over time; 2. Hong Kong is found...