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Correlations and cross-correlations in the Brazilian agrarian commodities and stocks

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  1. İşcanoğlu-Çekiç, Ayşegül & Gülteki̇n, Havva, 2019. "Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 978-990.
  2. Li, Bao-Gen & Ling, Dian-Yi & Yu, Zu-Guo, 2021. "Multifractal temporally weighted detrended partial cross-correlation analysis of two non-stationary time series affected by common external factors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
  3. Zunino, Luciano & Tabak, Benjamin M. & Serinaldi, Francesco & Zanin, Massimiliano & Pérez, Darío G. & Rosso, Osvaldo A., 2011. "Commodity predictability analysis with a permutation information theory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 876-890.
  4. Zhao, Xiaojun & Shang, Pengjian & Lin, Aijing & Chen, Gang, 2011. "Multifractal Fourier detrended cross-correlation analysis of traffic signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3670-3678.
  5. Cao, Guangxi & Han, Yan & Cui, Weijun & Guo, Yu, 2014. "Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 308-320.
  6. Wang, Dong-Hua & Suo, Yuan-Yuan & Yu, Xiao-Wen & Lei, Man, 2013. "Price–volume cross-correlation analysis of CSI300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1172-1179.
  7. da Silva, Marcus Fernandes & de Area Leão Pereira, Éder Johnson & da Silva Filho, Aloisio Machado & de Castro, Arleys Pereira Nunes & Miranda, José Garcia Vivas & Zebende, Gilney Figueira, 2016. "Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal)," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 1-8.
  8. Lucas Catalano & Alejandra Figliola, 2015. "Analysis of the nonlinear relationship between commodity prices in the last two decades," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(4), pages 1553-1558, July.
  9. de Araujo, Fernando Henrique Antunes & Bejan, Lucian & Stosic, Borko & Stosic, Tatijana, 2020. "An analysis of Brazilian agricultural commodities using permutation – information theory quantifiers: The influence of food crisis," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
  10. Stosic, Tatijana & Telesca, Luciano & Lemos da Costa, Simara Lúcia & Stosic, Borko, 2016. "Identifying drought-induced correlations in the satellite time series of hot pixels recorded in the Brazilian Amazon by means of the detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 660-666.
  11. 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.
  12. Li, Zhihui & Lu, Xinsheng, 2012. "Cross-correlations between agricultural commodity futures markets in the US and China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3930-3941.
  13. Ruan, Qingsong & Wang, Yao & Lu, Xinsheng & Qin, Jing, 2016. "Cross-correlations between Baltic Dry Index and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 278-289.
  14. de Oliveira Santos, Maíra & Stosic, Tatijana & Stosic, Borko D., 2012. "Long-term correlations in hourly wind speed records in Pernambuco, Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1546-1552.
  15. Prass, Taiane Schaedler & Pumi, Guilherme, 2021. "On the behavior of the DFA and DCCA in trend-stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 182(C).
  16. Liu, Li & Wang, Yudong, 2014. "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 20-30.
  17. Wang, Qizhen & Zhu, Yingming & Yang, Liansheng & Mul, Remco A.H., 2017. "Coupling detrended fluctuation analysis of Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 337-350.
  18. Jiang, Chenguang & Shang, Pengjian & Shi, Wenbin, 2016. "Multiscale multifractal time irreversibility analysis of stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 492-507.
  19. Cao, Guangxi & Cao, Jie & Xu, Longbing & He, LingYun, 2014. "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, Elsevier, vol. 393(C), pages 460-469.
  20. Ladislav Kristoufek, 2013. "Testing power-law cross-correlations: Rescaled covariance test," Papers 1307.4727, arXiv.org, revised Aug 2013.
  21. Wang, Gang-Jin & Xie, Chi, 2013. "Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1418-1428.
  22. Lima, Cristiane Rocha Albuquerque & de Melo, Gabriel Rivas & Stosic, Borko & Stosic, Tatijana, 2019. "Cross-correlations between Brazilian biofuel and food market: Ethanol versus sugar," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 687-693.
  23. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2011. "Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 864-875.
  24. Gu, Rongbao & Chen, Xi & Li, Xinjie, 2014. "Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 412(C), pages 101-112.
  25. dos Anjos, Priscilla Sales & da Silva, Antonio Samuel Alves & Stošić, Borko & Stošić, Tatijana, 2015. "Long-term correlations and cross-correlations in wind speed and solar radiation temporal series from Fernando de Noronha Island, Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 90-96.
  26. 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.
  27. Zhu, Xuehong & Chen, Ying & Chen, Jinyu, 2021. "Effects of non-ferrous metal prices and uncertainty on industry stock market under different market conditions," Resources Policy, Elsevier, vol. 73(C).
  28. 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.
  29. Liu, Shengnan & Yang, Linshan & Gu, Rongbao, 2023. "Can the introduction of stock index futures stabilize the volatility of the stock market? Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 44-58.
  30. Zhou, Yu & Chen, Shi, 2016. "Cross-correlation analysis between Chinese TF contracts and treasury ETF based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 117-127.
  31. Wang, Qizhen, 2019. "Multifractal characterization of air polluted time series in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 167-180.
  32. Dutta, Srimonti & Ghosh, Dipak & Samanta, Shukla, 2014. "Multifractal detrended cross-correlation analysis of gold price and SENSEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 195-204.
  33. Jale, Jader S. & Júnior, Sílvio F.A.X. & Stošić, Tatijana & Stošić, Borko & Ferreira, Tiago A.E., 2019. "Information flow between Ibovespa and constituent companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 233-239.
  34. Kim, Min Jae & Kim, Sehyun & Jo, Yong Hwan & Kim, Soo Yong, 2011. "Dependence structure of the commodity and stock markets, and relevant multi-spread strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3842-3854.
  35. Liu, Li & Ma, Guofeng, 2014. "Cross-correlation between crude oil and refined product prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 284-293.
  36. 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.
  37. Guedes, E. & Dionísio, A. & Ferreira, P.J. & Zebende, G.F., 2017. "DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 38-47.
  38. Liu, Xiaoming & Lin, Aijing & Li, Shuqi, 2021. "Classification of international stock markets through MDS based on Hurst-surface distance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  39. Derick David Quintino & Heloisa Lee Burnquist & Paulo Jorge Silveira Ferreira, 2021. "Carbon Emissions and Brazilian Ethanol Prices: Are They Correlated? An Econophysics Study," Sustainability, MDPI, vol. 13(22), pages 1-18, November.
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