Robustness of Detrended Cross-correlation Analysis Method Under Outliers Observations
Author
Abstract
Suggested Citation
Note: View the original document on HAL open archive server: https://hal.science/hal-03411380
Download full text from publisher
References listed on IDEAS
- He, Ling-Yun & Chen, Shu-Peng, 2011. "A new approach to quantify power-law cross-correlation and its application to commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3806-3814.
- Frank S. Nielsen, 2009. "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers 2009-38, Department of Economics and Business Economics, Aarhus University.
- S. Shadkhoo & G. R. Jafari, 2009. "Multifractal detrended cross-correlation analysis of temporal and spatial seismic data," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 72(4), pages 679-683, December.
- Cao, Guangxi & Xu, Longbing & Cao, Jie, 2012. "Multifractal detrended cross-correlations between the Chinese exchange market and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4855-4866.
- Chan, Joshua C.C. & Grant, Angelia L., 2016.
"Modeling energy price dynamics: GARCH versus stochastic volatility,"
Energy Economics, Elsevier, vol. 54(C), pages 182-189.
- Joshua C.C. Chan & Angelia L. Grant, 2015. "Modeling energy price dynamics: GARCH versus stochastic volatility," CAMA Working Papers 2015-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- J. P. Royston, 1982. "The W Test for Normality," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 31(2), pages 176-180, June.
- Gel, Yulia R. & Gastwirth, Joseph L., 2008. "A robust modification of the Jarque-Bera test of normality," Economics Letters, Elsevier, vol. 99(1), pages 30-32, April.
- Dhifaoui, Zouhaier, 2016. "Robust to noise and outliers estimator of correlation dimension," Chaos, Solitons & Fractals, Elsevier, vol. 93(C), pages 169-174.
- Frank S. Nielsen, 2011. "Local Whittle estimation of multi‐variate fractionally integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 317-335, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kristoufek, Ladislav, 2013.
"Mixed-correlated ARFIMA processes for power-law cross-correlations,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6484-6493.
- Ladislav Kristoufek, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Papers 1307.6046, arXiv.org, revised Aug 2013.
- Kristoufek, Ladislav, 2014.
"Measuring correlations between non-stationary series with DCCA coefficient,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 291-298.
- Ladislav Kristoufek, 2013. "Measuring correlations between non-stationary series with DCCA coefficient," Papers 1310.3984, arXiv.org.
- Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
- Ladislav Kristoufek, 2016. "Power-law cross-correlations estimation under heavy tails," Papers 1602.05385, arXiv.org, revised Apr 2016.
- El Alaoui, Marwane & Benbachir, Saâd, 2013. "Multifractal detrended cross-correlation analysis in the MENA area," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5985-5993.
- Shalit, Haim, 2012.
"Using OLS to test for normality,"
Statistics & Probability Letters, Elsevier, vol. 82(11), pages 2050-2058.
- Haim Shalit, 2009. "Using Ols To Test For Normality," Working Papers 0912, Ben-Gurion University of the Negev, Department of Economics.
- de Truchis, Gilles, 2013.
"Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue,"
Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
- Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," Working Papers halshs-00793220, HAL.
- Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," AMSE Working Papers 1220, Aix-Marseille School of Economics, France.
- Gilles De Truchis, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Post-Print hal-01498262, HAL.
- Li, Shuping & Lu, Xinsheng & Li, Jianfeng, 2021. "Cross-correlations between the P2P interest rate, Shibor and treasury yields," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
- Kristoufek, Ladislav, 2018. "Fractality in market risk structure: Dow Jones Industrial components case," Chaos, Solitons & Fractals, Elsevier, vol. 110(C), pages 69-75.
- Fan, Qingju & Li, Dan, 2015. "Multifractal cross-correlation analysis in electricity spot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 17-27.
- repec:arx:papers:1501.02947 is not listed on IDEAS
- Chen, Hong & Zhu, Li & Jia, GuoZhu, 2020. "MF-DCCA between molecular properties and aqueous solubility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
- Ladislav Kristoufek, 2014. "Spectrum-based estimators of the bivariate Hurst exponent," Papers 1408.6637, arXiv.org, revised Nov 2014.
- Zebende, G.F. & da Silva, M.F. & Machado Filho, A., 2013. "DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1756-1761.
- Zouhaier Dhifaoui, 2022. "Determinism and Non-linear Behaviour of Log-return and Conditional Volatility: Empirical Analysis for 26 Stock Markets," South Asian Journal of Macroeconomics and Public Finance, , vol. 11(1), pages 69-94, June.
- Marina Balboa & Paulo M. M. Rodrigues & Antonio Rubia & A. M. Robert Taylor, 2021.
"Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 544-565, August.
- Balboa, Marina & Rodrigues, Paulo MM & Rubia, Antonio & Taylor, AM Robert, 2021. "Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume," Essex Finance Centre Working Papers 29777, University of Essex, Essex Business School.
- Paulo M.M. Rodrigues & Marina Balboa, 2021. "Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume," Working Papers w202102, Banco de Portugal, Economics and Research Department.
- Wang, Hong-Yong & Wang, Tong-Tong, 2018. "Multifractal analysis of the Chinese stock, bond and fund markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 280-292.
- Cao, Guangxi & Xu, Wei, 2016. "Nonlinear structure analysis of carbon and energy markets with MFDCCA based on maximum overlap wavelet transform," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 505-523.
- Wang, Gang-Jin & Xie, Chi & He, Ling-Yun & Chen, Shou, 2014. "Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 70-79.
- El Alaoui, Marwane, 2015. "Random matrix theory and portfolio optimization in Moroccan stock exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 92-99.
- Ruan, Qingsong & Yang, Haiquan & Lv, Dayong & Zhang, Shuhua, 2018. "Cross-correlations between individual investor sentiment and Chinese stock market return: New perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 243-256.
More about this item
Keywords
Power-law cross-correlation; detrended cross-correlation function; bivariate Hurst exponent; two-fractional Gaussian noise process;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2021-11-22 (Econometrics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-03411380. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.