Gilmore, Claire G.; Lucey, Brian; Boscia, Marian - Institute for International Integration Studies (IIIS), … - 2007
The concept of a minimum spanning tree (MST) is used to study the process of comovements for 21 European Union stock market indices. We show how the asset tree and its related hierarchical tree evolve over time and describe the dynamics. Over the period studied, 1999-2006, the French equity...