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MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS
16 references·11 citing·29 second hop
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References

  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 1999Introduction to Econophysics1,831 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 cited
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 1999Statistical properties of the volatility of price fluctuations730 cited
  • 1998Indication of a Universal Persistence Law Governing Atmospheric Variability659 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 2001Multifractal random walk456 cited
  • 2001Estimating long range dependence: finite sample properties and confidence intervals411 cited
  • 2001Magnitude and Sign Correlations in Heartbeat Fluctuations398 cited
  • 2000Power spectrum and detrended fluctuation analysis: Application to daily temperatures388 cited
  • 2007Multi-scaling in finance376 cited
  • 2011Multifractal detrending moving-average cross-correlation analysis375 cited
  • 2008Comparison of detrending methods for fluctuation analysis315 cited
  • 2005Quantifying signals with power-law correlations: A comparative study of detrended fluctuation analysis and detrended moving average techniques

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285 cited
  • 2000Establishing the relation between detrended fluctuation analysis and power spectral density analysis for stochastic processes254 cited
  • Cited by

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    • 2016Cross-correlations between Baltic Dry Index and crude oil prices109 cited
    • 2019Which one is more informative in determining price movements of hedging assets? Evidence from Bitcoin, gold and crude oil markets99 cited
    • 2015Joint multifractal analysis based on the partition function approach: analytical analysis, numerical simulation and empirical application80 cited
    • 2016Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal)74 cited
    • 2017MULTIFRACTAL CROSS WAVELET ANALYSIS73 cited
    • 2014Autocorrelation and cross-correlation in time series of homicide and attempted homicide71 cited
    • 2018Quantifying the cross-correlations between online searches and Bitcoin market68 cited
    • 2020Multifractal analysis of the WTI crude oil market, US stock market and EPU65 cited
    • 2018Detrended Multiple Cross-Correlation Coefficient65 cited