We review the state of the art of clustering financial time series and the study of their
correlations alongside other interaction networks. The aim of the review is to gather in one …

We construct a Pearson correlation-based network and a partial correlation-based network,
ie, two minimum spanning trees (MST-Pearson and MST-Partial), to analyze the correlation …

Network based time series analysis has made considerable achievements in the recent
years. By mapping mono/multivariate time series into networks, one can investigate both it's …

We investigate the interaction among stocks in the US market over various time horizons
from a network perspective. Unlike the high-frequency data-driven multiscale correlation …

Tail dependence of financial entities describes when the price of one financial asset has an
extreme fluctuation (eg, price sharply rises or falls), the degree of its effect on the price …

In this paper, we investigate the correlation structure and dynamics of international real
estate securities markets by using daily returns of 20 national markets during the period …

We investigate the topology of sectoral returns in the US stock market using minimum
spanning tree (MST) analysis. We examine four distinct time periods: the full period, the …

The evolution with time of the correlation structure of equity returns is studied by means of a
filtered network approach investigating persistences and recurrences and their implications …

The spillover effects among sectors are of concern for distinct market participants, who are in
distinct investment horizons and concerned with the information in different time scales. In …

In this study, we assess the dynamic evolution of short-term correlation, long-term
cointegration and Error Correction Model (hereafter referred to as ECM)-based long-term …