Tail dependence networks of global stock markets

The Pearson correlation coefficient is used by many researchers to construct complex financial networks. However, it is difficult to capture the structural characteristics of financial markets that have extreme fluctuations. To solve this problem, we resort to tail dependence networks. We first buil...

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Veröffentlicht in:	International journal of finance and economics 2019-01, Vol.24 (1), p.558-567
Hauptverfasser:	Wen, Fenghua, Yang, Xin, Zhou, Wei‐Xing
Format:	Artikel
Sprache:	eng
Schlagworte:	community structure complex network Correlation analysis Pareto optimum Pearson's correlation coefficient Securities markets SJC copula stock market
Online-Zugang:	Volltext
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