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- W2898328045 abstract "Abstract The Pearson correlation coefficient is used by many researchers to construct complex financial networks. However, it is difficult to capture the structural characteristics of financial markets that have extreme fluctuations. To solve this problem, we resort to tail dependence networks. We first build the edge information of the stock network by adopting Pearson's correlation coefficient and the symmetrized Joe–Clayton copula model, respectively. By using the planar maximally filtered graph method, we filter the edge information, obtain Pearson's correlation coefficient and tail dependence network, and compare their efficiencies. The community structure of the constructed networks is investigated. We find that the global efficiency of tail‐dependent networks is higher than that of the Pearson correlation networks. Further analysis of the nodes in the upper‐ and lower‐tail dependence networks reveals that the European markets are more influential than Asian and African markets during a booming market and a recession market. In addition, different cliques are found in the two tail dependence networks. The finding indicates that financial risks will impact geographically adjacent markets." @default.
- W2898328045 created "2018-11-02" @default.
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- W2898328045 date "2018-10-23" @default.
- W2898328045 modified "2023-10-15" @default.
- W2898328045 title "Tail dependence networks of global stock markets" @default.
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- W2898328045 doi "https://doi.org/10.1002/ijfe.1679" @default.
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