Quantifying cross-correlation between Ibovespa and Brazilian blue-chips: The DCCA approach
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DOI: 10.1016/j.physa.2015.01.002
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- 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.
- Paulo Ferreira, 2020. "Dynamic long-range dependences in the Swiss stock market," Empirical Economics, Springer, vol. 58(4), pages 1541-1573, April.
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- Oussama Tilfani & Paulo Ferreira & My Youssef El Boukfaoui, 2021. "Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient," Empirical Economics, Springer, vol. 60(3), pages 1127-1156, March.
- Ferreira, Paulo & Kristoufek, Ladislav, 2020. "Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
- Paulo Ferreira, 2017. "Portuguese and Brazilian stock market integration: a non-linear and detrended approach," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(1), pages 49-63, April.
- Dora Almeida & Andreia Dionísio & Paulo Ferreira & Isabel Vieira, 2023. "Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis," FinTech, MDPI, vol. 2(2), pages 1-17, May.
- Nascimento Filho, A.S. & Pereira, E.J.A.L. & Ferreira, Paulo & Murari, T.B. & Moret, M.A., 2018. "Cross-correlation analysis on Brazilian gasoline retail market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 550-557.
- 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.
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- 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.
- Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
- Guedes, E.F. & Brito, A.A. & Oliveira Filho, F.M. & Fernandez, B.F. & de Castro, A.P.N. & da Silva Filho, A.M. & Zebende, G.F., 2018. "Statistical test for ΔρDCCA cross-correlation coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 501(C), pages 134-140.
- Thiago B. Murari & Aloisio S. Nascimento Filho & Eder J.A.L. Pereira & Paulo Ferreira & Sergio Pitombo & Hernane B.B. Pereira & Alex A.B. Santos & Marcelo A. Moret, 2019. "Comparative Analysis between Hydrous Ethanol and Gasoline C Pricing in Brazilian Retail Market," Sustainability, MDPI, vol. 11(17), pages 1-12, August.
- Ferreira, Paulo & Pereira, Éder Johson de Area Leão & Silva, Marcus Fernandes da & Pereira, Hernane Borges, 2019. "Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 86-96.
- da Silva Filho, A.M. & Zebende, G.F. & de Castro, A.P.N. & Guedes, E.F., 2021. "Statistical test for Multiple Detrended Cross-Correlation Coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
- Ferreira, Paulo, 2016. "Does the Euro crisis change the cross-correlation pattern between bank shares and national indexes?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 320-329.
- Ferreira, Paulo & Loures, Luís & Nunes, José Rato & Dionísio, Andreia, 2017. "The behaviour of share returns of football clubs: An econophysics approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 136-144.
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Keywords
DCCA cross-correlation coefficient; Blue-chips; Time series;All these keywords.
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