Analysis of dynamic correlation of Japanese stock returns with network clustering

DOI10.1007/S10690-017-9230-5zbMath1418.91478OpenAlexW2759974881MaRDI QIDQ1627816

Takashi Isogai

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-017-9230-5

zbMATH Keywords

dimensionality reductionstock returndynamic correlationnetwork clusteringDCC-GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (1)

Tail dependence network of new energy vehicle industry in mainland China

Uses Software

• rmgarch

Cites Work

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• On Bayesian Modeling of Fat Tails and Skewness
• Community structure in social and biological networks
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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