Qian, Ya; Härdle, Wolfgang; Chen, Cathy Yi-Hsuan - 2017
out-of-sample forecast of portfolio returns and network centrality-based trading strategies seem to outperform market …This paper contributes to model the industry interconnecting structure in a network context. General predictive model … interdependency networks. Empirical results show a denser network with heterogeneous central industries in tail cases. Network …
