Title:Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets Author(s):BEKIROS, Stelios D.; SANDOVAL, Leonidas Junior; NGUYEN, Duc Khuong; UDDIN, Gazi SalahDate:2016Citation:
- European journal of operational research, 2016, Vol. 256, No. 3, pp. 945-961
Type:ArticleAbstract:This paper investigates the dynamic causal linkages among U.S. equity and commodity futures markets via the utilization of complex network theory. We make use of rolling estimations of extended matrices and time-varying ...