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Community analysis of global financial markets

Vodenska, Irena; Becker, Alexander P.; Zhou, Di; … - In: Risks : open access journal 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...

Persistent link: https://www.econbiz.de/10011507433

Coupled network approach to predictability of financial market returns and news sentiments

Curme, Chester; Stanley, H. Eugene; Vodenska, Irena - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-26

Persistent link: https://www.econbiz.de/10011403951

Dynamical macroprudential stress testing using network theory

Levy Carciente, Sary; Kenett, Dror Y.; Avakian, Adam; … - In: Journal of banking & finance 59 (2015), pp. 164-181

Persistent link: https://www.econbiz.de/10011544421

Extreme risk spillover effects in world gold markets and the global financial crisis

Wang, Gang-Jin; Chi, Xie; Jiang, Zhi-Qiang; Stanley, H. … - In: International review of economics & finance : IREF 46 (2016), pp. 55-77

Persistent link: https://www.econbiz.de/10011626706

Who are the net senders and recipients of volatility spillovers in China's financial markets?

Wang, Gang-Jin; Chi, Xie; Jiang, Zhi-Qiang; Stanley, H. … - In: Finance research letters 18 (2016), pp. 255-262

Persistent link: https://www.econbiz.de/10011657061

Interconnectedness and systemic risk of China's financial institutions

Wang, Gang-Jin; Jiang, Zhi-Qiang; Lin, Min; Chi, Xie; … - In: Emerging markets review 35 (2018), pp. 1-18

Persistent link: https://www.econbiz.de/10012114699

Stock market contagion during the global financial crisis : a multiscale approach

Wang, Gang-Jin; Chi, Xie; Lin, Min; Stanley, H. Eugene - In: Finance research letters 22 (2017), pp. 163-168

Persistent link: https://www.econbiz.de/10011808129

Ranking the economic importance of countries and industries

Li, Wei; Kenett, Dror Y.; Yamasaki, Kazuko; Stanley, H. … - In: The journal of network theory in finance 3 (2017) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10011879063

Correlation structure and evolution of world stock markets : evidence from Pearson and partial correlation-based networks

Wang, Gang-Jin; Chi, Xie; Stanley, H. Eugene - In: Computational economics 51 (2018) 3, pp. 607-635

Persistent link: https://www.econbiz.de/10011963715

Short term prediction of extreme returns based on the recurrence interval analysis

Jiang, Zhi-Qiang; Wang, Gang-Jin; Canabarro, Askery; … - In: Quantitative finance 18 (2018) 3, pp. 353-370

Persistent link: https://www.econbiz.de/10011906380