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The cross-correlations of stock markets based on DCCA and time-delay DCCA
13 references·7 citing·43 second hop
The cross-correlations of stock markets based on DCCA and time-delay DCCA (2011)The cross-correlations of stock markets b…Quantifying cross-correlations using local and global detrending approaches (2009)Quantifying cross-correlation…Cross-correlation of long-range correlated series (2009)Cross-correlation of long-ran…Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes (2008)Modeling long-range cross-cor…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…Detecting long-range correlations of traffic time series with multifractal detrended fluctuation analysis (2006)Detecting long-range correlat…Characteristics of the Korean stock market correlations (2005)Characteristics of the Korean…Long-range correlations and nonstationarity in the Brazilian stock market (2003)Long-range correlations and n…Time-dependent cross-correlations between different stock returns: A directed network of influence (2002)Time-dependent cross-correlat…Effect of trends on detrended fluctuation analysis (2001)Effect of trends on detrended…Empirical evidence of long-range correlations in stock returns (2000)Empirical evidence of long-ra…Dynamics of competition between collectivity and noise in the stock market (2000)Dynamics of competition betwe…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China (1999)Constant conditional correlat…Market-based versus bank-based financial structure in China: From the perspective of financial risk (2022)Market-based versus bank-base…A New Methodology of Spatial Cross-Correlation Analysis (2015)A New Methodology of Spatial …Multiscale multifractal detrended cross-correlation analysis of financial time series (2014)Multiscale multifractal detre…Autocorrelation and cross-correlation in time series of homicide and attempted homicide (2014)Autocorrelation and cross-cor…Multifractal detrended cross-correlation analysis for power markets (2013)Multifractal detrended cross-…Cross-sample entropy statistic as a measure of synchronism and cross-correlation of stock markets (2012)Cross-sample entropy statisti…Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket (2012)Cross-correlations between Re…ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)A Multifractal Walk down Wall Street (1999)Application of multifractal measures to Tehran price index (2005)Fourier-detrended fluctuation analysis (2005)Long-term memory and volatility clustering in high-frequency price changes (2007)THE MULTIFRACTAL FORMALISM REVISITED WITH WAVELETS (1994)Detecting long-range correlations with detrended fluctuation analysis (2001)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil (2010)Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series (2010)Complexity testing techniques for time series data: A comprehensive literature review (2015)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. 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this work references cited by second hop

References

  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 cited
  • 2001Effect of trends on detrended fluctuation analysis1,285 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 2009Quantifying cross-correlations using local and global detrending approaches424 cited
  • 2006Detecting long-range correlations of traffic time series with multifractal detrended fluctuation analysis186 cited
  • 2002Time-dependent cross-correlations between different stock returns: A directed network of influence165 cited
  • 2008Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes143 cited
  • 2003Long-range correlations and nonstationarity in the Brazilian stock market130 cited
  • 2000Dynamics of competition between collectivity and noise in the stock market116 cited
  • 2000Empirical evidence of long-range correlations in stock returns114 cited
  • 2005Characteristics of the Korean stock market correlations107 cited
  • 2009Cross-correlation of long-range correlated series107 cited
  • 1999Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China66 cited

Cited by

  • 2015A New Methodology of Spatial Cross-Correlation Analysis

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91 cited
  • 2014Multiscale multifractal detrended cross-correlation analysis of financial time series89 cited
  • 2012Cross-sample entropy statistic as a measure of synchronism and cross-correlation of stock markets82 cited
  • 2013Multifractal detrended cross-correlation analysis for power markets75 cited
  • 2014Autocorrelation and cross-correlation in time series of homicide and attempted homicide71 cited
  • 2012Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket65 cited
  • 2022Market-based versus bank-based financial structure in China: From the perspective of financial risk23 cited