Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis

A jump model for credit default swaps with hierarchical clustering

(2019) Peter J. Zeitsch   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Correlations and clustering in wholesale electricity markets

(2018) Tianyu Cui et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets

(2018) Yong Tang et al.   COMPLEXITY

A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering

(2018) A. Verma et al.   QUANTITATIVE FINANCE

Equity markets’ clustering and the global financial crisis

(2017) Carlos León et al.   QUANTITATIVE FINANCE

The relationship between carbon dioxide emission and economic growth: Hierarchical structure methods

(2016) Seyma Akkaya Deviren et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Hierarchical structure of the countries based on electricity consumption and economic growth

(2016) Ersin Kantar et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Correlation structure and dynamics of international real estate securities markets: A network perspective

(2015) Gang-Jin Wang et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Extracting the sovereigns’ CDS market hierarchy: A correlation-filtering approach

(2014) Carlos León et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Analysis of cross-correlations between financial markets after the 2008 crisis

(2013) A. Sensoy et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Longevity hedge effectiveness: a decomposition

(2013) Andrew J.G. Cairns et al.   QUANTITATIVE FINANCE

Dynamic Hedging of Portfolio Credit Derivatives

(2011) Rama Cont et al.   SIAM Journal on Financial Mathematics

Identifying common dynamic features in stock returns

(2010) Jorge Caiado et al.   QUANTITATIVE FINANCE