Comparing Crobex Network Structures Under Different Correlation Filtering Methods
References
- Battiston, S., Puliga, M., Kaushik, R., Tasca, P., & Caldarelli, G. (2012). DebtRank: Too central to fail? Financial networks, the FED and systemic risk. Scientific Reports, 2, 541. https://doi.org/10.1038/srep00541
- Barabási, A.-L. (2016). Network Science. Cambridge University Press.
- Benjamini, Y., & Hochberg, Y. (1995). Controlling the false discovery rate: A practical and powerful approach to multiple testing. Journal of the Royal Statistical Society: Series B (Methodological), 57(1), 289–300.
- Hasse, J.-B. (2022). Systemic risk: a network approach. Empirical Economics, 63, 313–344. https://doi.org/10.1007/s00181-021-02131-2
- Kenett, D. Y., Tumminello, M., Madi, A., Gur-Gershgoren, G., Mantegna, R. N., & Ben-Jacob, E. (2010). Dominating clasp of the financial sector revealed by partial correlation analysis of the stock market. PLoS ONE, 5(12), e15032. https://doi.org/10.1371/journal.pone.0015032
- Laloux, L., Cizeau, P., Bouchaud, J. P., & Potters, M. (1999). Noise dressing of financial correlation matrices. Physical Review Letters, 83(7), 1467–1470. https://doi.org/10.1103/PhysRevLett.83.1467
- Li, B., & Zhang, X. (2024). Systemic risk and financial networks. The Quarterly Review of Economics and Finance, 94, 25–36. https://doi.org/10.1016/j.qref.2024.01.004
- Newman, M. E. J. (2010). Networks: An Introduction. Oxford University Press.
- R Core Team. (2024). R: A Language and Environment for Statistical Computing. R Foundation for Statistical Computing. https://www.R-project.org/
- Schäfer, J., & Strimmer, K. (2005). A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics. Statistical Applications in Genetics and Molecular Biology, 4(1), Article 32. https://doi.org/10.2202/1544-6115.1175
- Tumminello, M., Lillo, F., & Mantegna, R. N. (2010). Correlation, hierarchies, and networks in financial markets. Journal of Economic Behavior & Organization, 75(1), 40–58. https://doi.org/10.1016/j.jebo.2010.01.004
- Xu, R., Wong, WK., Chen, G. et al. Topological Characteristics of the Hong Kong Stock Market: A Test-based P-threshold Approach to Understanding Network Complexity. Sci Rep 7, 41379 (2017). https://doi.org/10.1038/srep41379
DOI: https://doi.org/10.2478/crdj-2025-0010 | Journal eISSN: 2718-4978
Language: English
Page range: 52 - 62
Submitted on: May 8, 2025
Accepted on: Oct 17, 2025
Published on: Apr 26, 2026
Published by: Međimurje University of Applied Sciences in Čakovec
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year
Keywords:
Related subjects:
© 2026 Silvija Vlah Jerić, published by Međimurje University of Applied Sciences in Čakovec
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.