Aityan, Sergey K.; Ivanov-Schitz, Alexey K.; Izotov, … - In: Journal of International Financial Markets, … 20 (2010) 5, pp. 590-605
The time-shift asymmetric correlation analysis method is introduced for stock exchanges with different but non-overlapping trading hours to analyze the degree of global integration between stock markets of different countries and their influence on each other. Next-day correlation (NDC) and...