most citedGranger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment

110 citations

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q-fin.GN2014★ 110 cited

Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment

Tomáš Výrost, Štefan Lyócsa, Eduard Baumöhl

The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December…