A new approach to quantify power-law cross-correlation and its application to commodity markets

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 21-22, 2011, Pages 3806-3814

  He, Ling Yun ^a   Chen, Shu Peng ^a  

^a CHINA AGRICULTURAL UNIVERSITY   (China)

Author keywords

Crude oil spot markets; DCCA; DMCA; Power law cross correlation

Indexed keywords

COMMERCE; CORRELATION METHODS; CRUDE OIL; FINANCIAL MARKETS; SIGNAL THEORY; TIME SERIES;

AUTO-REGRESSIVE INTEGRATED MOVING AVERAGE; CROSS CORRELATIONS; CROSS-CORRELATION ANALYSIS; DCCA; DETRENDED CROSS-CORRELATION ANALYSIS; DMCA; NON-STATIONARY TIME SERIES; SPOT MARKET;

TIME SERIES ANALYSIS;

EID: 80054916621     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.06.013     Document Type: Article

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