A network approach to unravel asset price comovement using minimal dependence structure
Pablo Jose Campos de Carvalho, Aparna Gupta
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Carvalho, Pablo José Campos de ; Gupta, Aparna |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 91.2018, p. 119-132
|
| Subject: | Minimum spanning tree | Non-stationarity | Asset price dynamics | Network analysis | Factor model | CAPM | Graphentheorie | Graph theory | Börsenkurs | Share price | Netzwerk | Network | Unternehmensnetzwerk | Business network | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2018.04.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011963651