Visualizing time-varying correlations across stock markets
نویسندگان
چکیده
We propose a graphical method to visualize possible time-varying correlations between stock market returns. The method can be useful for observing stable or emerging clusters of stock markets with similar behavior. The graphs, which originate from applying multidiŽ . mensional scaling techniques MDS , may also guide the construction of multivariate econometric models. We illustrate our method for the returns and absolute returns of 13 important stock markets. q 2000 Elsevier Science B.V. All rights reserved.
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