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Tail dependence networks of global stock markets

  • Published:2018-10-23 Issue:1 Volume:24 Page:558-567
  • ISSN:1076-9307
  • Container-title:International Journal of Finance & Economics
  • language:en
  • Short-container-title:Int J Fin Econ

Author:

Wen Fenghua12,Yang Xin3,Zhou Wei-Xing45ORCID

Affiliation:

1. School of Business; Central South University; Changsha China

2. Supply Chain Management and Logistics Optimization Research Centre, Faculty of Engineering; University of Windsor; Windsor ON Canada

3. School of Mathematics and Statistic; Changsha University of Science and Technology; Changsha China

4. Department of Finance; East China University of Science and Technology; Shanghai China

5. Department of Mathematics; East China University of Science and Technology; Shanghai China

Funder

Fundamental Research Funds for the Central Universities

National Natural Science Foundation of China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference61 articles.

1. A new approach to measuring financial contagion;Bae;Review of Financial Studies,2003

2. Complex networks: Structure and dynamics;Boccaletti;Physics Reports,2006

3. Statistical analysis of financial networks;Boginski;Computational Statistics and Data Analysis,2005

4. Mining market data: A network approach;Boginski;Computers and Operations Research,2006

5. A conditionally heteroskedastic time series model for speculative prices and rates of return;Bollerslev;The Review of Economics and Statistics,1987

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