Network mining based elucidation of the dynamics of cross-market clustering and connectedness in Asian region: An MST and hierarchical clustering approach
We investigate the dynamics of cross-market clustering and connectedness of the Asian capital markets in this study. We perform the cross-correlation structure analysis of the daily return data of 14 global indices belonging to the major Asian capital markets by using the sub-dominant ultrametric di...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2019-04-01
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| Series: | Journal of King Saud University: Computer and Information Sciences |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1319157817302343 |