Paper: Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
Here's another econophysics paper from H. Eugene Stanley and crew: D. Wang, B. Podobnik, D. Horvatić, H. E. Stanley. Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices. In my opinion, the primary contribution of the paper isn't really their method. The "global factor model" seems like the same