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Cross-correlation analysis of stock markets using EMD and EEMD
16 references·2 citing·37 second hopsampled
Cross-correlation analysis of stock markets using EMD and EEMD (2015)Cross-correlation analysis of stock marke…Statistical tests for power-law cross-correlated processes (2011)Statistical tests for power-l…Multifractal detrending moving-average cross-correlation analysis (2011)Multifractal detrending movin…Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes (2011)Modified detrended fluctuatio…Evolution of worldwide stock markets, correlation structure, and correlation-based graphs (2011)Evolution of worldwide stock …Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)Detrended cross-correlation a…DCCA cross-correlation coefficient apply in time series of air temperature and air relative humidity (2011)DCCA cross-correlation coeffi…DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)DCCA cross-correlation coeffi…Quantifying cross-correlations using local and global detrending approaches (2009)Quantifying cross-correlation…Cross-correlations between volume change and price change (2009)Cross-correlations between vo…Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Multifractal detrended cross-…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…A new approach for crude oil price analysis based on Empirical Mode Decomposition (2007)A new approach for crude oil …Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Applications of Hilbert–Huang transform to non‐stationary financial time series analysis (2003)Applications of Hilbert–Huang…A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…A Stock Price Forecasting Model Integrating Complementary Ensemble Empirical Mode Decomposition and Independent Component Analysis (2022)A Stock Price Forecasting Mod…Analysis of EEMD-based quantile-in-quantile approach on spot- futures prices of energy and precious metals in India (2020)Analysis of EEMD-based quanti…Fractional Differencing (1981)Hierarchical structure in financial markets (1999)Multifractal analysis of financial markets: a review (2019)Imperfect Competition and the Effects of Energy Price Increases on Economic Activity (1996)The Long-Run Evolution of Energy Prices (1999)Estimating the impact of extreme events on crude oil price: An EMD-based event analysis method (2009)Forecasting the short-term metro passenger flow with empirical mode decomposition and neural networks (2011)A novel hybrid method for crude oil price forecasting (2015)Detecting long-range correlations with detrended fluctuation analysis (2001)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Detrending moving average algorithm for multifractals (2010)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Detrended cross-correlation analysis consistently extended to multifractality (2014)Stock markets and the COVID-19 fractal contagion effects (2020)Noise Dressing of Financial Correlation Matrices (1999)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Human behavior and the principle of least effort (1949)Continuous Auctions and Insider Trading (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Cross‐Section of Volatility and Expected Returns (2006)Modelling the scaling properties of human mobility (2010)The Granular Origins of Aggregate Fluctuations (2011)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Another look at measures of forecast accuracy (2006)Multivariate GARCH models: a survey (2006)Generalized autoregressive conditional heteroskedasticity (1986)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)Théorie de la spéculation (1900)Random data: Analysis and measurement procedures (1987)Improving forecasting accuracy of time series data using a new ARIMA-ANN hybrid method and empirical mode decomposition (2019)The Variation of Certain Speculative Prices (1963)The Econometrics of Financial Markets (1997)
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References

  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,398 cited
  • 2006Analysis of Financial Time Series2,382 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,498 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 2009Cross-correlations between volume change and price change631 cited
  • 2010DCCA cross-correlation coefficient: Quantifying level of cross-correlation611 cited
  • 2003Applications of Hilbert–Huang transform to non‐stationary financial time series analysis512 cited
  • 2007A new approach for crude oil price analysis based on Empirical Mode Decomposition447 cited
  • 2011Statistical tests for power-law cross-correlated processes443 cited
  • 2009Quantifying cross-correlations using local and global detrending approaches424 cited
  • 2011Multifractal detrending moving-average cross-correlation analysis375 cited
  • 2011Detrended cross-correlation analysis for non-stationary time series with periodic trends334 cited
  • 2011Evolution of worldwide stock markets, correlation structure, and correlation-based graphs242 cited

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  • 2011DCCA cross-correlation coefficient apply in time series of air temperature and air relative humidity176 cited
  • 2011Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes105 cited
  • Cited by

    • 2020Analysis of EEMD-based quantile-in-quantile approach on spot- futures prices of energy and precious metals in India51 cited
    • 2022A Stock Price Forecasting Model Integrating Complementary Ensemble Empirical Mode Decomposition and Independent Component Analysis24 cited