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Can financial crisis be detected? Laplacian energy measure
期刊论文
EUROPEAN JOURNAL OF FINANCE, 2022, 页码: 28
作者:
Huang, Chuangxia
;
Deng, Yunke
;
Yang, Xin
;
Yang, Xiaoguang
;
Cao, Jinde
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2023/02/07
Financial crisis
complex network
Laplacian energy
network structure
seasonal-trend decomposition procedure based on loess (STL)
Asset selection based on high frequency Sharpe ratio
期刊论文
JOURNAL OF ECONOMETRICS, 2022, 卷号: 227, 期号: 1, 页码: 168-188
作者:
Wang, Christina Dan
;
Chen, Zhao
;
Lian, Yimin
;
Chen, Min
收藏
  |  
浏览/下载:21/0
  |  
提交时间:2022/04/29
Asset selection
High frequency Sharpe ratio
Ultrahigh dimensional
Serial correlation
Sure screening property
Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions
期刊论文
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2021, 页码: 13
作者:
Yang, Xin
;
Chen, Shan
;
Liu, Hong
;
Yang, Xiaoguang
;
Huang, Chuangxia
收藏
  |  
浏览/下载:15/0
  |  
提交时间:2021/04/26
Financial institution network
jump volatility
panel data regression model
Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market
期刊论文
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2020, 卷号: 555, 页码: 14
作者:
Chen, Hanxiao
;
Zheng, Xiaolong
;
Zeng, Daniel Dajun
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  |  
浏览/下载:16/0
  |  
提交时间:2020/07/20
Stock co-movement
Spatial-temporal patterns
Triangulated Maximally
Filtered Graph
Exponential weighted Pearson correlation
Analyzing the co-movement and its spatial-temporal patterns in Chinese stock market
期刊论文
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2020, 卷号: 555, 页码: 14
作者:
Chen, Hanxiao
;
Zheng, Xiaolong
;
Zeng, Daniel Dajun
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  |  
浏览/下载:19/0
  |  
提交时间:2020/07/20
Stock co-movement
Spatial-temporal patterns
Triangulated Maximally
Filtered Graph
Exponential weighted Pearson correlation
Analyzing the dynamic sectoral influence in Chinese and American stock markets
期刊论文
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 卷号: 536, 页码: 15
作者:
Tian, Hu
;
Zheng, Xiaolong
;
Zeng, Daniel Danjun
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  |  
浏览/下载:4/0
  |  
提交时间:2020/03/30
Sectoral influence
Multi-time scales
Causal network
Granger causality
Empirical mode decomposition
The capital flow of stock market studies based on epidemic model with double delays
期刊论文
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 卷号: 526, 页码: 18
作者:
Zhou, Qi
;
Sun, Shaolong
;
Liu, Qian
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浏览/下载:50/0
  |  
提交时间:2020/01/10
Epidemic model
Fund contagion
Herd behaviour
Parameter inversion
The return and volatility nexus among stock market and macroeconomic fundamentals for China
期刊论文
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 卷号: 526, 页码: 16
作者:
Abbas, Ghulam
;
Bashir, Usman
;
Wang, Shouyang
;
Zebende, Gilney Figueira
;
Ishfaq, Muhammad
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  |  
浏览/下载:18/0
  |  
提交时间:2020/01/10
Returns
Volatility
Macroeconomic variables
Generalized VAR
China
Market inefficiencies associated with pricing oil stocks during shocks
期刊论文
ENERGY ECONOMICS, 2019, 卷号: 81, 页码: 661-671
作者:
Qiao, Kenan
;
Sun, Yuying
;
Wang, Shouyang
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  |  
浏览/下载:39/0
  |  
提交时间:2020/01/10
Crude oil shocks
Interval-valued factor pricing models
Market efficiency
Oil stocks
Quantile regression
Tail dependence networks of global stock markets
期刊论文
International Journal of Finance and Economics, 2019, 卷号: 24, 期号: 1, 页码: 558-567
作者:
Wen, Fenghua
;
Yang, Xin
;
Zhou, Wei-Xing*
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  |  
浏览/下载:11/0
  |  
提交时间:2019/12/03
community structure
complex network
Pearson's correlation coefficient
SJC copula
stock market
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