Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect

By Boyao Wu, Difang Huang, Muzi Chen

Published 2024-04-09

Everscope rating

1647

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Time-zone vector autoregression (VAR) model with LASSO. Problem types: Time Series Forecasting, Network Analysis.

arXiv:2404.04335 · Paper rankings

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