-
1
-
-
0001659575
-
Meteor Showers or Heat Waves? Heteroskedastic Daily Volatility in the Foreign Exchange Market
-
Engle RF, Ito T, Lin W, (1990) Meteor Showers or Heat Waves? Heteroskedastic Daily Volatility in the Foreign Exchange Market. Econometrica 58: 525-542.
-
(1990)
Econometrica
, vol.58
, pp. 525-542
-
-
Engle, R.F.1
Ito, T.2
Lin, W.3
-
3
-
-
79955698096
-
Index Cohesive Force Analysis of NY Market Reveal Phase Transition Into Stiff Market State
-
Kenett DY, Shapira Y, Madi A, Bransburg-Zabary S, Gur-Gershgoren G, et al. (2011) Index Cohesive Force Analysis of NY Market Reveal Phase Transition Into Stiff Market State. PLoS ONE 6 (4): e19378.
-
(2011)
PLoS ONE
, vol.6
, Issue.4
-
-
Kenett, D.Y.1
Shapira, Y.2
Madi, A.3
Bransburg-Zabary, S.4
Gur-Gershgoren, G.5
-
4
-
-
79951720206
-
Dynamics of stock market correlations
-
Kenett DY, Shapira Y, Madi A, Bransburg-Zabary S, Gur-Gershgoren G, et al. (2010) Dynamics of stock market correlations. AUCO Czech Economic Review 4 (1).
-
(2010)
AUCO Czech Economic Review
, vol.4
, Issue.1
-
-
Kenett, D.Y.1
Shapira, Y.2
Madi, A.3
Bransburg-Zabary, S.4
Gur-Gershgoren, G.5
-
7
-
-
84856747019
-
-
ArXiv 1102.2620
-
Harmon D, De Aguair MAM, Chinellato DD, Braha D, Epstein I, et al. (2011) Predicting economic market crises using measures of collective panic. arXiv 1102.2620.
-
(2011)
Predicting economic market crises using measures of collective panic
-
-
Harmon, D.1
De Aguair, M.A.M.2
Chinellato, D.D.3
Braha, D.4
Epstein, I.5
-
10
-
-
77249175225
-
Switching phenomena in a system with no switches
-
Preis T, Stanley HE, (2010) Switching phenomena in a system with no switches. Journal of Statistical Physics 138 (1): 431-446.
-
(2010)
Journal of Statistical Physics
, vol.138
, Issue.1
, pp. 431-446
-
-
Preis, T.1
Stanley, H.E.2
-
11
-
-
0003350474
-
No Contagion, Only Dependence: Measuring Stock Market Comovements
-
Forbes K, Rigobon R, (2002) No Contagion, Only Dependence: Measuring Stock Market Comovements. The Journal of Finance LVII (5): 2223-2261.
-
(2002)
The Journal of Finance
, vol.LVII
, Issue.5
, pp. 2223-2261
-
-
Forbes, K.1
Rigobon, R.2
-
12
-
-
84992529786
-
Volatility and Links between national stock markets
-
King M, Sentana E, Wadhwani S, (1994) Volatility and Links between national stock markets. Econometrica 62 (4): 901-933.
-
(1994)
Econometrica
, vol.62
, Issue.4
, pp. 901-933
-
-
King, M.1
Sentana, E.2
Wadhwani, S.3
-
13
-
-
78951482660
-
Liberalization and stock market co-movement between emerging economies
-
Beile M, Candelon B, (2011) Liberalization and stock market co-movement between emerging economies. Quantitative Finance 12 (2): 299-312.
-
(2011)
Quantitative Finance
, vol.12
, Issue.2
, pp. 299-312
-
-
Beile, M.1
Candelon, B.2
-
15
-
-
23044444732
-
A tool for filtering information in complex systems
-
Tumminello M, Aste T, Di Matteo T, Mantegna RN, (2005) A tool for filtering information in complex systems. Proceedings of the National Academy of Sciences of the United States of America 102 (30): 10421-10426.
-
(2005)
Proceedings of the National Academy of Sciences of the United States of America
, vol.102
, Issue.30
, pp. 10421-10426
-
-
Tumminello, M.1
Aste, T.2
Di Matteo, T.3
Mantegna, R.N.4
-
16
-
-
80051606572
-
Evolution of worldwide stock markets, correlation structure and correlation based graphs
-
Song DM, Tumminello M, Zhou WX, Mantegna RN, (2011) Evolution of worldwide stock markets, correlation structure and correlation based graphs. Physical Review E 84 (2): 026108.
-
(2011)
Physical Review E
, vol.84
, Issue.2
, pp. 026108
-
-
Song, D.M.1
Tumminello, M.2
Zhou, W.X.3
Mantegna, R.N.4
-
17
-
-
79951714186
-
RMT assessments of market latent information embedded in the stocks' raw, normalized, and partial correlations
-
249370,10.1155/2009/249370
-
Kenett DY, Shapira Y, Ben-Jacob E, (2009) RMT assessments of market latent information embedded in the stocks' raw, normalized, and partial correlations. Hindawi Journal of Probability and Statistics 249370,10.1155/2009/249370.
-
(2009)
Hindawi Journal of Probability and Statistics
-
-
Kenett, D.Y.1
Shapira, Y.2
Ben-Jacob, E.3
-
18
-
-
11844293410
-
Partial correlation and conditional correlation as measures of conditional independence
-
Baba K, Shibata R, Sibuya M, (2004) Partial correlation and conditional correlation as measures of conditional independence. Australian & New Zealand Journal of Statistics 46 (4): 657-664.
-
(2004)
Australian & New Zealand Journal of Statistics
, vol.46
, Issue.4
, pp. 657-664
-
-
Baba, K.1
Shibata, R.2
Sibuya, M.3
-
19
-
-
0035441899
-
Quantifying and interpreting collective behavior in financial markets
-
Gopikrishnan P, Rosenow B, Plerou V, Stanley HE, (2001) Quantifying and interpreting collective behavior in financial markets. Physical Review E 64: 035106.
-
(2001)
Physical Review E
, vol.64
, pp. 035106
-
-
Gopikrishnan, P.1
Rosenow, B.2
Plerou, V.3
Stanley, H.E.4
-
21
-
-
0034509210
-
A random matrix theory approach to financial cross-correlations
-
Plerou V, Gopikrishnan P, Rosenow B, Amaral LAN, Stanley HE, (2000) A random matrix theory approach to financial cross-correlations. Physica A 287 (3-4): 374-382.
-
(2000)
Physica A
, vol.287
, Issue.3-4
, pp. 374-382
-
-
Plerou, V.1
Gopikrishnan, P.2
Rosenow, B.3
Amaral, L.A.N.4
Stanley, H.E.5
-
22
-
-
78650962511
-
Regulation change and volatility spillovers: evidence from China's stock markets
-
Chen Z, Jiang H, Sim AB, (2010) Regulation change and volatility spillovers: evidence from China's stock markets. Emerging markets finance & trade 46 (6): 140-157.
-
(2010)
Emerging Markets Finance & Trade
, vol.46
, Issue.6
, pp. 140-157
-
-
Chen, Z.1
Jiang, H.2
Sim, A.B.3
-
24
-
-
84993905064
-
Time-Varying World Market Integration
-
Bekaert G, Campbell RH, (1995) Time-Varying World Market Integration. The Journal of Finance 50 (2): 403-444.
-
(1995)
The Journal of Finance
, vol.50
, Issue.2
, pp. 403-444
-
-
Bekaert, G.1
Campbell, R.H.2
-
25
-
-
84881717702
-
Conditional Constraints and player behavior in China's stock market
-
In: Lilai X, editors, Cheltenham, Edward Elgar
-
Zhu H, Pan C, (2011) Conditional Constraints and player behavior in China's stock market. In: Lilai X, editors. China's Economy in the Post-WTO Environment Cheltenham Edward Elgar.
-
(2011)
China's Economy in the Post-WTO Environment
-
-
Zhu, H.1
Pan, C.2
|