Correlation of financial markets in times of crisis

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 1-2, 2012, Pages 187-208

  Sandoval Jr , Leonidas ^a   Franca, Italo De Paula ^a  

^a INSPER INSTITUTE OF EDUCATION AND RESEARCH   (Brazil)

Author keywords

Correlation matrix; Crisis; Financial markets; Random matrix theory

Indexed keywords

COMMERCE; EIGENVALUES AND EIGENFUNCTIONS; RANDOM VARIABLES;

CORRELATION MATRIX; CRISIS; EIGENVALUES AND EIGENVECTORS; HIGH VOLATILITY; RANDOM MATRIX THEORY; SEPTEMBER 11; STRONG CORRELATION; SUBPRIME MORTGAGE CRISIS;

FINANCIAL MARKETS;

EID: 80054030185     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.07.023     Document Type: Article

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