The cross-correlations of stock markets based on DCCA and time-delay DCCA

Nonlinear Dynamics

Volumn 67, Issue 1, 2012, Pages 425-435

  Lin, Aijing ^a   Shang, Pengjian ^a   Zhao, Xiaojun ^a  

^a BEIJING JIAOTONG UNIVERSITY   (China)

Author keywords

Cross correlation; Detrended cross correlation analysis (DCCA); Detrended fluctuation analysis (DFA); Stock; Time delay

Indexed keywords

CHINESE STOCK MARKET; CROSS CORRELATIONS; CROSS-CORRELATION ANALYSIS; DETRENDED FLUCTUATION ANALYSIS; DFA METHOD; FLUCTUATION FUNCTIONS; LONG RANGE CORRELATIONS; NON-STATIONARY TIME SERIES; STOCK; STOCK MARKET; STOCK TIME SERIES; TIME DEPENDENCE; TIME WINDOWS; TIME-SCALES;

COMMERCE; CORRELATION METHODS; FINANCE; TIME DELAY; TIME SERIES;

TIME SERIES ANALYSIS;

EID: 82255186763     PISSN: 0924090X     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11071-011-9991-8     Document Type: Article

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