Borradores de Economia
Número:
937
Publicado:
Clasificación JEL:
C38, L22, G15
Palabras clave:
Clustering, Unsupervised Learning, Stock Market, Connectedness
Lo más reciente
Fredy Gamboa-Estrada, Freddy Cepeda-López, Javier Iván Miguélez-Márquez
Fredy Gamboa-Estrada, Diego Cuesta, Camilo Sanchez-Quinto
Fredy Gamboa-Estrada, José Vicente Romero
The effect of the Global Financial Crisis (GFC) has been substantial across markets and countries worldwide. We examine how the GFC has changed the way equity markets group together based on the similarity of stock indices' daily returns. Our examination