Systematically discovering dependence structure of global stock markets using dynamic Bayesian network

被引:0
|
作者
Center for Information Science, Peking University, Beijing 100871, China [1 ]
机构
来源
J. Comput. Inf. Syst. | 2013年 / 18卷 / 7215-7226期
关键词
D O I
10.12733/jcis6838
中图分类号
学科分类号
摘要
28
引用
收藏
相关论文
共 50 条
  • [41] Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets
    Waqas Hanif
    Hee-Un Ko
    Linh Pham
    Sang Hoon Kang
    Financial Innovation, 9
  • [42] The correlation structure in the international stock markets during global financial crisis
    Gao, Hai-Ling
    Mei, Dong-Cheng
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 534
  • [43] Network Granger Causality Linkages in Nigeria and Developed Stock Markets: Bayesian Graphical Analysis
    Oluseun Olayungbo, David
    Al-Faryan, Mamdouh Abdulaziz Saleh
    Zhuparova, Aziza
    JOURNAL OF AFRICAN BUSINESS, 2024, 25 (03) : 555 - 579
  • [44] Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis
    Labidi, Chiaz
    Rahman, Md Lutfur
    Hedstroem, Axel
    Uddin, Gazi Salah
    Bekiros, Stelios
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2018, 59 : 179 - 211
  • [45] Dynamic linkage between the Chinese and global stock markets: A normal mixture approach
    Wan, Li
    Han, Liyan
    Xu, Yang
    Matousek, Roman
    EMERGING MARKETS REVIEW, 2021, 49
  • [46] Situation assessment using variable structure interval probability dynamic Bayesian network
    Hu, Yun-An
    Liu, Zhen
    Shi, Jian-Guo
    Xi Tong Gong Cheng Yu Dian Zi Ji Shu/Systems Engineering and Electronics, 2013, 35 (09): : 1891 - 1897
  • [47] Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets
    Mensi, Walid
    Boubaker, Ferihane Zaraa
    Al-Yahyaee, Khamis Hamed
    Kang, Sang Hoon
    FINANCE RESEARCH LETTERS, 2018, 25 : 230 - 238
  • [48] Evaluating Extremal Dependence in Stock Markets Using Extreme Value Theory
    Singh, Abhay K.
    Allen, David E.
    Powell, Robert J.
    19TH INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION (MODSIM2011), 2011, : 1485 - 1491
  • [49] A dynamic analysis of stock markets using a hidden Markov model
    De Angelis, Luca
    Paas, Leonard J.
    JOURNAL OF APPLIED STATISTICS, 2013, 40 (08) : 1682 - 1700
  • [50] Tail dependence analysis of stock markets using extreme value theory
    Singh, Abhay K.
    Allen, David E.
    Powell, Robert J.
    APPLIED ECONOMICS, 2017, 49 (45) : 4588 - 4599