Artikel
Contagion pattern identification through minimum spanning trees during the Asian financial crisis
Complexity in financial markets is slowly overwhelming canonical statistical modelling. With global crises which stemming from contagion effects becoming more frequent, new tools for financial distress transmission c apture are needed. Graph theory , with its branch on minimum spanning trees can help researchers better represent the numerous multivariate and asynchronous interactions that suddenly manifest during moments of market panic. Under the current research, a no vel graphical methodology is em ployed for the description of the 1997 Asian financial crisis. It is shown that market sentiment can have an interpretable image through the use of correlation based minimum spanning trees, a useful tool for policy makers and risk managers alike.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Financial Studies ; ISSN: 2066-6071 ; Volume: 23 ; Year: 2019 ; Issue: 2 (84) ; Pages: 76-96 ; Bucharest: Romanian Academy, National Institute of Economic Research (INCE), "Victor Slăvescu" Centre for Financial and Monetary Research
- Klassifikation
-
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Methodological Issues: General
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
Data Collection and Data Estimation Methodology; Computer Programs: Other Computer Software
- Thema
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correlation matrix
graph theory
minimum spanning tree
- Ereignis
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Geistige Schöpfung
- (wer)
-
Marica, Vasile-George
- Ereignis
-
Veröffentlichung
- (wer)
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Romanian Academy, National Institute of Economic Research (INCE), "Victor Slăvescu" Centre for Financial and Monetary Research
- (wo)
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Bucharest
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Marica, Vasile-George
- Romanian Academy, National Institute of Economic Research (INCE), "Victor Slăvescu" Centre for Financial and Monetary Research
Entstanden
- 2019
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