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Cross-Correlation Asymmetries and Causal Relationships between Stock and Market Risk

https://doi.org/10.1371/journal.pone.0105874

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Emergence of statistically validated financial intraday lead-lag relationships

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FREQUENCY DISTRIBUTION OF THE VALUES OF THE CORRELATION COEFFIENTS IN SAMPLES FROM AN INDEFINITELY LARGE POPU;ATION

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Asymmetric Volatility and Risk in Equity Markets

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When Are Contrarian Profits Due to Stock Market Overreaction?

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Statistical properties of the volatility of price fluctuations

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Scaling of the distribution of fluctuations of financial market indices

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Data clustering and noise undressing of correlation matrices

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Random matrix approach to cross correlations in financial data

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Topology of correlation-based minimal spanning trees in real and model markets

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Random matrix theory analysis of cross correlations in financial markets

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Systematic analysis of group identification in stock markets

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Mean escape time in a system with stochastic volatility

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Temporal evolution of financial-market correlations

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Reducing financial avalanches by random investments

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Empirical method to measure stochasticity and multifractality in nonlinear time series

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Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series

inferredcites →https://doi.org/10.1103/physrevlett.83.1467openalex-snapshot

Noise Dressing of Financial Correlation Matrices

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Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series

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Volatility Clustering and Scaling for Financial Time Series due to Attractor Bubbling

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Extreme Correlation of International Equity Markets

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New Light on the Correlation Coefficient and its Transforms

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Economic Networks: The New Challenges

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Network and eigenvalue analysis of financial transaction networks

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Equity trees and graphs via information theory

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Asymmetric correlation matrices: an analysis of financial data

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Statistics for Business and Financial Economics

inferredcites →https://doi.org/10.1142/9789812770851openalex-snapshot

Modelling Financial Time Series

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ECONOMIC NETWORKS: WHAT DO WE KNOW AND WHAT DO WE NEED TO KNOW?

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Statistical-Mechanical Theory of Irreversible Processes. I. General Theory and Simple Applications to Magnetic and Conduction Problems

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A Survey of Systemic Risk Analytics

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Time-lag cross-correlations in collective phenomena

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Quantifying meta-correlations in financial markets

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Brownian distance covariance

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Forecasting Volatility in Financial Markets: A Review

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Forecasting Volatility in Financial Markets: A Review

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Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market

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Index Cohesive Force Analysis Reveals That the US Market Became Prone to Systemic Collapses Since 2002

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Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships

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Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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Modelling Financial Time Series.

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Frequency Distribution of the Values of the Correlation Coefficient in Samples from an Indefinitely Large Population

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Fractal Structure in the Capital Markets

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Forecasting International Equity Correlations

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International Market Correlation and Volatility

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When are Contrarian Profits Due to Stock Market Overreaction?

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Applications of Entropy in Finance: A Review

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Causality Testing in Equity Markets

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