Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets

Physica A: Statistical Mechanics and its Applications

Volumn 392, Issue 7, 2013, Pages 1659-1670

  Ma, Feng ^a   Wei, Yu ^a   Huang, Dengshi ^a  

^a SOUTHWEST JIAOTONG UNIVERSITY   (China)

Author keywords

Cross correlations; Multifractal detrended cross correlation analysis; Rolling windows; Stock markets

Indexed keywords

COMMERCE; CORRELATION METHODS; FRACTALS;

CHINESE STOCK MARKET; CROSS CORRELATIONS; CROSS-CORRELATION TESTS; DETRENDED CROSS-CORRELATION ANALYSIS; MULTI-FRACTAL SPECTRUM; QUALITATIVE ANALYSIS; ROLLING WINDOW; SMALL FLUCTUATION;

FINANCIAL MARKETS;

EID: 84872901025     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2012.12.010     Document Type: Article

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