Cross-correlations between agricultural commodity futures markets in the US and China

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 15, 2012, Pages 3930-3941

  Li, Zhihui ^a   Lu, Xinsheng ^b  

^a NORTHWEST A F UNIVERSITY   (China)

^b TONGJI UNIVERSITY   (China)

Author keywords

Agricultural commodity futures; Cross correlation; Crossover; MF DCCA

Indexed keywords

AGRICULTURAL ROBOTS; AGRICULTURE; COMMERCE; FRACTALS;

AGRICULTURAL COMMODITIES; AGRICULTURAL COMMODITY FUTURES; CROSS CORRELATIONS; CROSS-CORRELATION PROPERTY; CROSSOVER; GENERALIZED HURST EXPONENT; MF-DCCA; MULTIFRACTAL DETRENDED CROSS CORRELATION ANALYSIS (MF DCCA);

FINANCIAL MARKETS;

EID: 84862809181     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2012.02.029     Document Type: Article

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