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Dynamic Correlation Analysis of Asian Stock Markets

✍ Scribed by Jae-Kwang Hwang

Book ID
113081716
Publisher
Springer US
Year
2012
Tongue
English
Weight
281 KB
Volume
18
Category
Article
ISSN
1083-0898

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Dynamics of cross-correlations in the st
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✍ Bernd Rosenow; Parameswaran Gopikrishnan; Vasiliki Plerou; H Eugene Stanley πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 107 KB

Co-movements of stock price uctuations are described by the cross-correlation matrix C. The application of random matrix theory (RMT) allows to distinguish between spurious correlations in C due to measurement noise and true correlations containing economically meaningful information. By calculating