Interdependencies and Causalities in Coupled Financial Networks.
We explore the foreign exchange and stock market networks for 48 countries from 1999 to 2012 and propose a model, based on complex Hilbert principal component analysis, for extracting significant lead-lag relationships between these markets. The global set of countries, including large and small cou...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2016-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC4792465?pdf=render |