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Quantifying cross-correlations using local and global detrending approaches

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Cited by:

  1. Ladislav Kristoufek, 2014. "Spectrum-based estimators of the bivariate Hurst exponent," Papers 1408.6637, arXiv.org, revised Nov 2014.
  2. Ferreira, Paulo & Pereira, Éder & Silva, Marcus, 2020. "The relationship between oil prices and the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  3. Pavlov, A.N. & Pavlova, O.N. & Koronovskii, A.A. & Guyo, G.A., 2022. "Extended detrended cross-correlation analysis of nonstationary processes," Chaos, Solitons & Fractals, Elsevier, vol. 157(C).
  4. Kar, Alpa & Chatterjee, Sucharita & Ghosh, Dipak, 2019. "Multifractal detrended cross correlation analysis of Land-surface temperature anomalies and Soil radon concentration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 236-247.
  5. Bashir, Usman & Zebende, Gilney Figueira & Yu, Yugang & Hussain, Muntazir & Ali, Ahmed & Abbas, Ghulam, 2019. "Differential market reactions to pre and post Brexit referendum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 151-158.
  6. Dong, Keqiang & Zhang, Hong & Gao, You, 2017. "Dynamical mechanism in aero-engine gas path system using minimum spanning tree and detrended cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 363-369.
  7. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Developing trading strategies based on fractal finance: An application of MF-DFA in the context of Islamic equities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 223-235.
  8. Cai, Yuxin & Lu, Xinsheng & Ren, Yongping & Qu, Ling, 2019. "Exploring the dynamic relationship between crude oil price and implied volatility indices: A MF-DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  9. Panischev, O.Yu. & Demin, S.A. & Bhattacharya, J., 2010. "Cross-correlation markers in stochastic dynamics of complex systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4958-4969.
  10. Zhai, Lu-Sheng & Liu, Ruo-Yu, 2019. "Local detrended cross-correlation analysis for non-stationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 222-233.
  11. Qin, Jing & Ge, Jintian & Lu, Xinsheng, 2018. "The effectiveness of the monetary policy in China: New evidence from long-range cross-correlation analysis and the components of multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1026-1037.
  12. Pal, Mayukha & Satish, B. & Srinivas, K. & Rao, P. Madhusudana & Manimaran, P., 2015. "Multifractal detrended cross-correlation analysis of coding and non-coding DNA sequences through chaos-game representation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 596-603.
  13. Zhaoyuan Li & Maozai Tian, 2017. "A New Method For Dynamic Stock Clustering Based On Spectral Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 373-392, October.
  14. Li, Shuping & Lu, Xinsheng & Liu, Xinghua, 2020. "Dynamic relationship between Chinese RMB exchange rate index and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  15. 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.
  16. 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.
  17. Bashir, Usman & Yu, Yugang & Hussain, Muntazir & Zebende, Gilney F., 2016. "Do foreign exchange and equity markets co-move in Latin American region? Detrended cross-correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 889-897.
  18. Dongwei, Chen & Fei, Hu & Jingjing, Xu & lei, Liu, 2019. "Long-range correlation analysis among non-stationary passive scalar series in the turbulent boundary layer," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 290-296.
  19. Yang, Liansheng & Zhu, Yingming & Wang, Yudong & Wang, Yiqi, 2016. "Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 255-265.
  20. Charfeddine, Lanouar & Guégan, Dominique, 2012. "Breaks or long memory behavior: An empirical investigation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5712-5726.
  21. Zhang, Yali & Wang, Jun, 2019. "Linkage influence of energy market on financial market by multiscale complexity synchronization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 254-266.
  22. Qian, Xi-Yuan & Gu, Gao-Feng & Zhou, Wei-Xing, 2011. "Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4388-4395.
  23. 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.
  24. da Silva, Marcus Fernandes & Leão Pereira, Éder Johnson de Area & da Silva Filho, Aloisio Machado & Nunes de Castro, Arleys Pereira & Miranda, José Garcia Vivas & Zebende, Gilney Figueira, 2015. "Quantifying cross-correlation between Ibovespa and Brazilian blue-chips: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 124-129.
  25. Sanyal, Shankha & Banerjee, Archi & Patranabis, Anirban & Banerjee, Kaushik & Sengupta, Ranjan & Ghosh, Dipak, 2016. "A study on Improvisation in a Musical performance using Multifractal Detrended Cross Correlation Analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 67-83.
  26. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Casado Belmonte, M.P. & Trinidad Segovia, J.E., 2020. "A note on power-law cross-correlated processes," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
  27. 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.
  28. Guo, Yaoqi & Yu, Zhuling & Yu, Chenxi & Cheng, Hui & Chen, Weixun & Zhang, Hongwei, 2021. "Asymmetric multifractal features of the price–volume correlation in China’s gold futures market based on MF-ADCCA," Research in International Business and Finance, Elsevier, vol. 58(C).
  29. Wang, Fang & Yang, Zhaohui & Wang, Lin, 2016. "Detecting and quantifying cross-correlations by analogous multifractal height cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 954-962.
  30. Zhuang, Xiaoyang & Wei, Yu & Zhang, Bangzheng, 2014. "Multifractal detrended cross-correlation analysis of carbon and crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 113-125.
  31. Li, Jianhui & Li, Qiaozhi & Wang, Fang & Liu, Fan, 2022. "Hyperspectral redundancy detection and modeling with local Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 592(C).
  32. Yang, Yujun & Li, Jianping & Yang, Yimei, 2017. "The cross-correlation analysis of multi property of stock markets based on MM-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 23-33.
  33. Jiang, Jiaqi & Gu, Rongbao, 2016. "Asymmetrical long-run dependence between oil price and US dollar exchange rate—Based on structural oil shocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 75-89.
  34. Li, Jianfeng & Lu, Xinsheng & Zhou, Ying, 2016. "Cross-correlations between crude oil and exchange markets for selected oil rich economies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 131-143.
  35. Chowdhury, Mohammad Ashraful Ferdous & Abdullah, Mohammad & Alam, Masud & Abedin, Mohammad Zoynul & Shi, Baofeng, 2023. "NFTs, DeFi, and other assets efficiency and volatility dynamics: An asymmetric multifractality analysis," International Review of Financial Analysis, Elsevier, vol. 87(C).
  36. 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.
  37. 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.
  38. Ma, Pengcheng & Li, Daye & Li, Shuo, 2016. "Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 163-176.
  39. Liu, Li & Wan, Jieqiu, 2011. "A study of correlations between crude oil spot and futures markets: A rolling sample test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3754-3766.
  40. Li, Shuping & Li, Jianfeng & Lu, Xinsheng & Sun, Yihong, 2022. "Exploring the dynamic nonlinear relationship between crude oil price and implied volatility indices: A new perspective from MMV-MFDFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
  41. Telesca, Luciano & Pierini, Jorge O. & Scian, Beatrice, 2012. "Investigating the temporal variation of the scaling behavior in rainfall data measured in central Argentina by means of detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1553-1562.
  42. Shi, Wenbin & Shang, Pengjian & Wang, Jing & Lin, Aijing, 2014. "Multiscale multifractal detrended cross-correlation analysis of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 35-44.
  43. Mingyu Nan & Yifan Zhu & Jie Zhang & Tao Wang & Xin Zhou, 2022. "MSGWO-MKL-SVM: A Missing Link Prediction Method for UAV Swarm Network Based on Time Series," Mathematics, MDPI, vol. 10(14), pages 1-29, July.
  44. Shen, Chen-hua & Li, Cao-ling, 2016. "An analysis of the intrinsic cross-correlations between API and meteorological elements using DPCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 100-109.
  45. Gu, Rongbao & Shao, Yanmin, 2016. "How long the singular value decomposed entropy predicts the stock market? — Evidence from the Dow Jones Industrial Average Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 150-161.
  46. Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
  47. Zhao, Xiaojun & Shang, Pengjian & Zhao, Chuang & Wang, Jing & Tao, Rui, 2012. "Minimizing the trend effect on detrended cross-correlation analysis with empirical mode decomposition," Chaos, Solitons & Fractals, Elsevier, vol. 45(2), pages 166-173.
  48. Liang, Yunyun & Liu, Sanyang & Zhang, Shengli, 2017. "Geary autocorrelation and DCCA coefficient: Application to predict apoptosis protein subcellular localization via PSSM," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 296-306.
  49. repec:arx:papers:1501.02947 is not listed on IDEAS
  50. Jia, Linlu & Ke, Jinchuan & Wang, Jun, 2019. "Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 370-383.
  51. Ruan, Qingsong & Zhang, Manqian & Lv, Dayong & Yang, Haiquan, 2018. "SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1009-1022.
  52. Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
  53. Zhang, Xin & Yang, Liansheng & Zhu, Yingming, 2019. "Analysis of multifractal characterization of Bitcoin market based on multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 973-983.
  54. Cao, Guangxi & Xu, Wei, 2016. "Multifractal features of EUA and CER futures markets by using multifractal detrended fluctuation analysis based on empirical model decomposition," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 212-222.
  55. Guedes, E.F. & da Silva Filho, A.M. & Zebende, G.F., 2021. "Detrended multiple cross-correlation coefficient with sliding windows approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  56. Hasan, Rashid & Mohammed Salim, M., 2017. "Power law cross-correlations between price change and volume change of Indian stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 620-631.
  57. Shen, Chen-hua & Li, Chao-ling & Si, Ya-li, 2015. "A detrended cross-correlation analysis of meteorological and API data in Nanjing, China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 417-428.
  58. Zhang, Tao & Ma, Guofeng & Liu, Guangsheng, 2015. "Nonlinear joint dynamics between prices of crude oil and refined products," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 444-456.
  59. Wang, Jian & Shao, Wei & Ma, Chenmin & Chen, Wenbing & Kim, Junseok, 2021. "Co-movements between Shanghai Composite Index and some fund sectors in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
  60. 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.
  61. Wang, Jie & Wang, Jun, 2020. "Cross-correlation complexity and synchronization of the financial time series on Potts dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  62. Zhang, Bo & Wang, Guochao & Wang, Yiduan & Zhang, Wei & Wang, Jun, 2019. "Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1012-1025.
  63. Li, Jianxuan & Shi, Yingying & Cao, Guangxi, 2018. "Topology structure based on detrended cross-correlation coefficient of exchange rate network of the belt and road countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1140-1151.
  64. Rizvi, Syed Aun R. & Dewandaru, Ginanjar & Bacha, Obiyathulla I. & Masih, Mansur, 2014. "An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 86-99.
  65. Lu, Xinsheng & Sun, Xinxin & Ge, Jintian, 2017. "Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 144-161.
  66. Ruan, Qingsong & Yang, Bingchan & Ma, Guofeng, 2017. "Detrended cross-correlation analysis on RMB exchange rate and Hang Seng China Enterprises Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 91-108.
  67. 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.
  68. Shi, Wenbin & Shang, Pengjian & Xia, Jianan & Yeh, Chien-Hung, 2016. "The coupling analysis between stock market indices based on permutation measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 222-231.
  69. Zhang, Chen & Ni, Zhiwei & Ni, Liping, 2015. "Multifractal detrended cross-correlation analysis between PM2.5 and meteorological factors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 114-123.
  70. Kristoufek, Ladislav, 2015. "Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 431(C), pages 124-127.
  71. Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan & Nguyen, Duc Khuong, 2020. "Dynamic volatility spillover effects between oil and agricultural products," International Review of Financial Analysis, Elsevier, vol. 69(C).
  72. Zhang, Wei & Li, Yi & Zhang, Zuochao & Shen, Dehua, 2018. "The dynamic cross-correlations between foreign news, local news and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 861-872.
  73. Liu, Li-Zhi & Qian, Xi-Yuan & Lu, Heng-Yao, 2010. "Cross-sample entropy of foreign exchange time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4785-4792.
  74. 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.
  75. 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.
  76. 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.
  77. Ruan, Qingsong & Jiang, Wei & Ma, Guofeng, 2016. "Cross-correlations between price and volume in Chinese gold markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 10-22.
  78. Kim, Hongseok & Oh, Gabjin & Kim, Seunghwan, 2011. "Multifractal analysis of the Korean agricultural market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4286-4292.
  79. Wang, Guochao & Zheng, Shenzhou & Wang, Jun, 2019. "Complex and composite entropy fluctuation behaviors of statistical physics interacting financial model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 97-113.
  80. Min, Seungsik & Shin, Ki-Hong & Baek, Woonhak & Kim, Kyungsik & You, Cheol-Hwan & Lee, Dong-In & Yum, Seong Soo & Kim, Wonheung & Chang, Ki-Ho, 2020. "Dynamical behavior of combined detrended cross-correlation analysis methods in random walks and Lévy flights," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  81. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
  82. 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.
  83. Pan, Yueling & Hou, Lei & Pan, Xue, 2022. "Interplay between stock trading volume, policy, and investor sentiment: A multifractal approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
  84. Pal, Mayukha & Madhusudana Rao, P. & Manimaran, P., 2014. "Multifractal detrended cross-correlation analysis on gold, crude oil and foreign exchange rate time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 452-460.
  85. Li, Jin & Chen, Chen & Yao, Qin & Zhang, Peng & Wang, Jun & Hu, Jing & Feng, Feilong, 2018. "The effect of circadian rhythm on the correlation and multifractality of heart rate signals during exercise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1207-1213.
  86. Xi, Caiping & Zhang, Shuning & Xiong, Gang & Zhao, Huichang & Yang, Yonghong, 2017. "Two-dimensional multifractal cross-correlation analysis," Chaos, Solitons & Fractals, Elsevier, vol. 96(C), pages 59-69.
  87. Lin, Xiaoqiang & Tang, Zhenpeng & Fei, Fangyu, 2013. "Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4064-4074.
  88. Lu, Xinsheng & Li, Jianfeng & Zhou, Ying & Qian, Yubo, 2017. "Cross-correlations between RMB exchange rate and international commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 168-182.
  89. Niu, Hongli & Wang, Weiqing & Zhang, Junhuan, 2019. "Recurrence duration statistics and time-dependent intrinsic correlation analysis of trading volumes: A study of Chinese stock indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 838-854.
  90. Wang, Yiduan & Zheng, Shenzhou & Zhang, Wei & Wang, Guochao & Wang, Jun, 2018. "Fuzzy entropy complexity and multifractal behavior of statistical physics financial dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 486-498.
  91. 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.
  92. Zebende, G.F. & Brito, A.A. & Silva Filho, A.M. & Castro, A.P., 2018. "ρDCCA applied between air temperature and relative humidity: An hour/hour view," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 17-26.
  93. 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).
  94. Ruan, Qingsong & Bao, Junjie & Zhang, Manqian & Fan, Limin, 2019. "The effects of exchange rate regime reform on RMB markets: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 122-134.
  95. Li, Wei & Lu, Xinsheng & Ren, Yongping & Zhou, Ying, 2018. "Dynamic relationship between RMB exchange rate index and stock market liquidity: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 726-739.
  96. 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.
  97. Wang, Guochao & Zheng, Shenzhou & Wang, Jun, 2020. "Fluctuation and volatility dynamics of stochastic interacting energy futures price model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  98. Yanguang Chen, 2015. "A New Methodology of Spatial Cross-Correlation Analysis," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-20, May.
  99. Zebende, G.F. & Brito, A.A. & Castro, A.P., 2020. "DCCA cross-correlation analysis in time-series with removed parts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  100. Kristjanpoller, Werner & Bouri, Elie & Takaishi, Tetsuya, 2020. "Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  101. Guedes, E.F. & Ferreira, Paulo & Dionísio, Andreia & Zebende, G.F., 2019. "An econophysics approach to study the effect of BREXIT referendum on European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1175-1182.
  102. Ladislav Kristoufek, 2013. "Testing power-law cross-correlations: Rescaled covariance test," Papers 1307.4727, arXiv.org, revised Aug 2013.
  103. Cao, Guangxi & Shi, Yingying, 2017. "Simulation analysis of multifractal detrended methods based on the ARFIMA process," Chaos, Solitons & Fractals, Elsevier, vol. 105(C), pages 235-243.
  104. Teng, Yue & Shang, Pengjian, 2018. "Detrended fluctuation analysis based on higher-order moments of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 311-322.
  105. Roume, C. & Almurad, Z.M.H. & Scotti, M. & Ezzina, S. & Blain, H. & Delignières, D., 2018. "Windowed detrended cross-correlation analysis of synchronization processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1131-1150.
  106. Yin, Yi & Shang, Pengjian, 2013. "Modified DFA and DCCA approach for quantifying the multiscale correlation structure of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6442-6457.
  107. 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.
  108. Jia, Linlu & Ke, Jinchuan & Wang, Jun, 2020. "Fluctuation behavior analysis of stochastic exclusion financial dynamics with random jump," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
  109. Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
  110. Ferreira, Paulo & Kristoufek, Ladislav & Pereira, Eder Johnson de Area Leão, 2020. "DCCA and DMCA correlations of cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
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