Detrended cross-correlation analysis approach for assessing asymmetric multifractal detrended cross-correlations and their application to the Chinese financial market

Physica A: Statistical Mechanics and its Applications

Volumn 393, Issue , 2014, Pages 460-469

  Cao, Guangxi ^a,b   Cao, Jie ^a   Xu, Longbing ^b   He, Lingyun ^c  

^a NANJING UNIVERSITY OF INFORMATION SCIENCE AND TECHNOLOGY   (China)

^b SHANGHAI UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^c CHINA AGRICULTURAL UNIVERSITY   (China)

Author keywords

Asymmetric; Chinese stock market; Exchange rate; Multifractal detrended cross correlation

Indexed keywords

CORRELATION METHODS; FINANCIAL MARKETS; FRACTALS; TIME SERIES; TIME SERIES ANALYSIS;

ASYMMETRIC; CHINESE STOCK MARKET; CROSS CORRELATIONS; DETRENDED CROSS-CORRELATION ANALYSIS; DETRENDED FLUCTUATION ANALYSIS; EXCHANGE RATES; MULTIFRACTAL DETRENDED CROSS CORRELATION ANALYSIS (MF DCCA); NON-STATIONARY TIME SERIES;

COMMERCE;

EID: 84886585096     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2013.08.074     Document Type: Article

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