Cross-correlations between West Texas Intermediate crude oil and the stock markets of the BRIC

Physica A: Statistical Mechanics and its Applications

Volumn 392, Issue 21, 2013, Pages 5356-5368

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

^a SOUTHWEST JIAOTONG UNIVERSITY   (China)

Author keywords

Efficiency index; Multifractal detrended cross correlation analysis; Rolling windows; The degree of the multifractal

Indexed keywords

COMMERCE; CRUDE OIL; EFFICIENCY; FINANCIAL MARKETS; FRACTALS;

CROSS-CORRELATION PROPERTY; CROSS-CORRELATION TESTS; DETRENDED CROSS-CORRELATION ANALYSIS; EFFICIENCY INDEX; GENERALIZED HURST EXPONENT; MULTI FRACTALS; ROLLING WINDOW; WEST TEXAS INTERMEDIATES;

PETROLEUM ANALYSIS;

EID: 84882817494     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2013.06.061     Document Type: Article

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