bibliography.bib

@article{Markowitz1952,
author = {Markowitz, Harry},
doi = {10.1111/j.1540-6261.1952.tb01525.x},
issn = {15406261},
journal = {The Journal of Finance},
title = {{Portfolio Selection}},
year = {1952}
}

@article{Estrada2009,
author = {Estrada, Ernesto and Higham, Desmond J. and Hatano, Naomichi},
doi = {10.1016/j.physa.2008.11.011},
issn = {03784371},
journal = {Physica A: Statistical Mechanics and its Applications},
keywords = {Centrality measures,Communicability,Conserved proteins,Fr{\'{e}}chet derivative,Linear response,Protein-protein interactions,Spectral graph theory},
title = {{Communicability betweenness in complex networks}},
year = {2009}
}


@article{Tse2010,
author = {Tse, Chi K. and Liu, Jing and Lau, Francis C.M.},
doi = {10.1016/j.jempfin.2010.04.008},
issn = {09275398},
journal = {Journal of Empirical Finance},
keywords = {Complex network,Degree distribution,Stock indexes,Stock market},
title = {{A network perspective of the stock market}},
year = {2010}
}

@article{Szekely2007,
author = {Sz{\'{e}}kely, G{\'{a}}bor J. and Rizzo, Maria L. and Bakirov, Nail K.},
doi = {10.1214/009053607000000505},
issn = {00905364},
journal = {Annals of Statistics},
keywords = {Distance correlation,Distance covariance,Multivariate independence},
title = {{Measuring and testing dependence by correlation of distances}},
year = {2007}
}

@article{Szekely2009,
author = {Sz{\'{e}}kely, G{\'{a}}bor J. and Rizzo, Maria L.},
doi = {10.1214/09-AOAS312},
issn = {19326157},
journal = {Annals of Applied Statistics},
keywords = {Brownian covariance,Dcor,Distance correlation,Independence,Multivariate},
title = {{Brownian distance covariance}},
year = {2009}
}


@article{Kenett2012,
author = {Kenett, Dror Y. and Raddant, Matthias and Lux, Thomas and Ben-Jacob, Eshel},
doi = {10.1371/journal.pone.0031144},
issn = {19326203},
journal = {PLoS ONE},
title = {{Evolvement of uniformity and volatility in the stressed global financial village}},
year = {2012}
}

@article{Hommes2002,
author = {Hommes, Cars H.},
doi = {10.1073/pnas.082080399},
issn = {00278424},
journal = {Proceedings of the National Academy of Sciences of the United States of America},
pmid = {12011401},
title = {{Modeling the stylized facts in finance through simple nonlinear adaptive systems}},
year = {2002}
}

@article{Doucet2009,
abstract = {Optimal estimation problems for non-linear non-Gaussian state-space models do not typically admit analytic solutions. Since their introduction in 1993, particle filtering methods have become a very popular class of algorithms to solve these estimation problems numerically in an online manner, i.e. recursively as observations become available, and are now routinely used in fields as diverse as computer vision, econometrics, robotics and navigation. The objective of this tutorial is to provide a complete, up-to-date survey of this field as of 2008. Basic and advanced particle methods for filtering as well as smoothing are presented.},
author = {Doucet, Arnaud and Johansen, A M},
journal = {Handbook of Nonlinear Filtering},
title = {{A tutorial on particle filtering and smoothing: Fifteen years later}},
year = {2009}
}

@article{Chatzis2012,
author = {Chatzis, Sotirios P. and Demiris, Yiannis},
doi = {10.1016/j.patcog.2011.06.022},
issn = {00313203},
journal = {Pattern Recognition},
keywords = {Copula,Echo state network,Maximum-likelihood,Sequential data modeling},
title = {{The copula echo state network}},
year = {2012}
}

@article{Kenourgios2011,
author = {Kenourgios, Dimitris and Samitas, Aristeidis and Paltalidis, Nikos},
doi = {10.1016/j.intfin.2010.08.005},
issn = {10424431},
journal = {Journal of International Financial Markets, Institutions and Money},
keywords = {AG-DCC model,Contagion,Financial crises,Multivariate regime-switching copula},
title = {{Financial crises and stock market contagion in a multivariate time-varying asymmetric framework}},
year = {2011}
}

@article{Oh2018,
author = {Oh, Dong Hwan and Patton, Andrew J.},
doi = {10.1080/07350015.2016.1177535},
issn = {15372707},
journal = {Journal of Business and Economic Statistics},
keywords = {Correlation,DCC,Financial crises,Tail risk},
title = {{Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads}},
year = {2018}
}



@misc{hoffman2011nouturn,
    title={The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo},
    author={Matthew D. Hoffman and Andrew Gelman},
    year={2011},
    eprint={1111.4246},
    archivePrefix={arXiv},
    primaryClass={stat.CO}
}