Lin, Aijing; Shang, Pengjian; Zhong, Bo - In: Physica A: Statistical Mechanics and its Applications 416 (2014) C, pp. 259-272
In this article, we investigate the hidden cross-correlation structures in Chinese stock markets and US stock markets by performing PCSE combined with PCA approach. It is suggested that PCSE can provide a more faithful and more interpretable description of the dynamic mechanism between time...