Understanding the Shift of Correlation Structure in Major Currency Exchange Rate

Nur Syahidah Yusoff, Maman Abdurachman Djauhari

Abstract


In this paper, we study the high dimensional correlation structure of financial market. Correlation structure can be considered as a complex system that relates each variable to the others in terms of correlation. To analyze such complex system, minimum spanning tree is constructed to simplify the network. A case study will be presented and a conclusion will be highlighted.

Keywords


Correlation structure; Degree centrality; Jennrich’s statistic; Minimum spanning tree;

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DOI: https://doi.org/10.11113/mjfas.v8n3.137

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