Trend analysis of global stock market linkage based on a dynamic conditional correlation network

Trend analysis of global stock market linkage based on a dynamic conditional correlation network

The paper analyses the trend of global stock market linkages via daily data of 51 stock indices spanning the period 22 July 2005 to 30 June 2016 which covers four regions: America, Europe, Asia Pacific and Africa. A dynamic conditional multivariate generalized autoregressive conditional heteroskeda...

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Bibliographic Details
Main Authors: Kedong Yin, Zhe Liu, Peide Liu
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2017-08-01
Series:Journal of Business Economics and Management
Subjects:
complex network
DCC-MVGARCH
topological properties
minimum spanning tree
low pass filter
variable periodicity analysis
Online Access:https://journals.vgtu.lt/index.php/JBEM/article/view/1231

Internet

https://journals.vgtu.lt/index.php/JBEM/article/view/1231

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