Hierarchy, cluster, and time-stable information structure of correlations between international financial markets

Dynamic high-frequency dependence structure of Chinese agricultural commodity futures based on the semi-parametric copula

“…This special intraday dependence pattern between the agricultural futures may be due to the existence of more idiosyncratic components during the opening and closing hours of trading and more market mode components during the midday. This paper only explores the dynamic dependence between agricultural futures, the possible underlying determinants of this dynamics like trading micro-structure [45], the possible information content of dependence or correlations [46] or behavior characteristic like herding [6,47] are further extensions. The semiparametric copula model with high-frequency data applies to the dependence structure of general commodity futures such as gold…”

The analysis of cross‐correlation between Istanbul Stock Exchange and major stock markets and indices: An empirical analysis using Random Matrix Theory

“…Some applications use world stock market indices such as Sensoy et al 18 that suggested that after the 2008 crisis markets' co‐movement behaviors were increased. In another study about worldwide stock market indices found that there is time‐stable information in the correlations worldwide 19 . Analysis of cross‐correlation with the help of RMT for the Borsa Istanbul was done by Çukur et al 20 They suggested that their findings on the eigenvalue distribution were different from the literature in terms of the number of eigenvalues less or greater than the theoretical minimum and maximum.…”

“…In another study about worldwide stock market indices found that there is time-stable information in the correlations worldwide. 19 Analysis of cross-correlation with the help of RMT for the Borsa Istanbul was done by Çukur et al 20 They suggested that their findings on the eigenvalue distribution were different from the literature in terms of the number of eigenvalues less or greater than the theoretical minimum and maximum. Collective behavior among the world markets was investigated by Saeedian et al 21 Some studies focused on the theoretical analysis of the eigenvalue distribution of the correlation matrix in terms of separating signal and noise.…”

Improving statistical arbitrage investment strategy: Evidence from Latin American stock markets

“…This methodology was applied to the Tokyo stock market by Utsugi, Ino, and Oshikawa (2004), to the Indian stock market by Kulkarni and Deo (2007) and Pan and Sinha (2007) and to the Chinese stock market by Shen and Zheng (2009). More recently, Cai, Cui, Huang, and Sun (2017) analysed the correlation of the main 52 economies of the world.…”