Yang, Chunxia; Chen, Yanhua; Niu, Lei; Li, Qian - In: Physica A: Statistical Mechanics and its Applications 400 (2014) C, pp. 168-185
In this paper, cointegration relationships among 26 global stock market indices over the periods of sub-prime and European debt crisis and their influence rank are investigated by constructing and analyzing directed and weighted cointegration networks. The obtained results are shown as follows:...