Measuring time dependent volatility and cross-sectional correlation in Australian equity returns

Bertram, William Karel

doi:10.1016/j.physa.2008.01.106

Cited by 5 publications

(3 citation statements)

References 23 publications

(42 reference statements)

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“…The main advantage of the MST approach is that it evolves the design of an acyclic network which reveals the primary filtered information toward the hierarchy and the design of the clusters. Finally, according to Bertram (2008), correlations appear to evolve over a more extended period than volatility. Then, using a correlation matrix seems to be a long‐run procedure.…”

Section: Methodology: Concepts Data Analysis and Empirical Strategymentioning

confidence: 99%

“…In the African Region, Majapa and Gossel (2016) constructed an MST for the South African Stock Exchange (JSE All Share Index-ALSI) over the period of the 2008 crisis and concluded that the tightly related assets were from the natural resource sectors. Bertram (2008) perform an MST on the period previous to the Great Recession, from January 1997 to October 2007. The data consisted of closing prices for 20 stocks traded on the Australia Stock Exchange.…”

Section: Literature On Financial Networkmentioning

confidence: 99%

“…Bertram (2008) perform an MST on the period previous to the Great Recession, from January 1997 to October 2007. The data consisted of closing prices for 20 stocks traded on the Australia Stock Exchange.…”

Section: Literature On Financial Networkmentioning

confidence: 99%

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Electoral influences on the Brazilian B3 data correlation network

Cardoso

Junior²

2022

Int. J Fin Econ

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In any society, the relationship between economy and politics is characterized by controversy, enigmas and mysteries. Economic performance affects political results, and the political environment and its process produce financial results. Brazil was hit by economic and political crises from 2012 to 2016. Such crises made it possible to redesign the correlation network between the assets negotiated on the B3 (Brazil Stock Exchange and Over‐the‐Counter Market). This paper aimed to analyse the main aspects related to the topological structure of the assets negotiated on the B3 and its volatility between the pre‐and post‐2014 electoral periods. Results showed the hierarchical clusters and the evolution of the systemic risk, with the banks leading the concentration in the post‐electoral period. The closeness centrality indices for the minimum variance portfolios were modified by approximately 80% between the pre‐electoral and post‐electoral periods. It was concluded that the political events significantly changed the structure, the risk and the possibility of selecting assets for portfolios in the Brazilian market.

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Section: Methodology: Concepts Data Analysis and Empirical Strategymentioning

confidence: 99%

Section: Literature On Financial Networkmentioning

confidence: 99%

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Electoral influences on the Brazilian B3 data correlation network

Cardoso

Junior²

2022

Int. J Fin Econ

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Risk evaluation with enhanced covariance matrix

Urbanowicz

Richmond

Hołyst

2007

Physica A: Statistical Mechanics and its Applications

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We propose a route for the evaluation of risk based on a transformation of the covariance matrix.The approach uses a 'potential' or 'objective' function. This allows us to rescale data from different assets (or sources) such that each data set then has similar statistical properties in terms of their probability distributions. The method is tested using historical data from both the New York and Warsaw Stock Exchanges.

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Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model

Cheong

2008

Physica A: Statistical Mechanics and its Applications

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Measuring time dependent volatility and cross-sectional correlation in Australian equity returns

Cited by 5 publications

References 23 publications

Electoral influences on the Brazilian B3 data correlation network

Electoral influences on the Brazilian B3 data correlation network

Risk evaluation with enhanced covariance matrix

Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model

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