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Cross-correlations between agricultural commodity futures markets in the US and China
16 references·1 citing·37 second hop
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References

  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 1999Time series properties of an artificial stock market729 cited
  • 2009Cross-correlations between volume change and price change631 cited
  • 2009Quantifying cross-correlations using local and global detrending approaches424 cited
  • 2008A multifractal approach for stock market inefficiency305 cited
  • 2006Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility235 cited
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  • 2002Multifractal Hurst analysis of crude oil prices187 cited
  • 2010Cross-correlations between Chinese A-share and B-share markets173 cited
  • 2005A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate172 cited

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2008
Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes
143 cited
  • 2009Is WTI crude oil market becoming weakly efficient over time?142 cited
  • Cited by

    • 2012Multifractal detrended fluctuation analysis of the Chinese stock index futures market74 cited