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Interplay between past market correlation structure changes and future volatility outbursts
We report significant relations between past changes in the market correlation structure and future changes in the market volatility. This relation is made evident by using a measure of “correlation structure persistence” on correlation-based information filtering networks that quantifies the rate o...
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| Publicado no: | Sci Rep |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Nature Publishing Group
2016
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5114656/ https://ncbi.nlm.nih.gov/pubmed/27857144 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1038/srep36320 |
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