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ArticleMultifractal Detrended Cross-Correlation Analysis of agricultural futures markets

Ling‐Yun He2011

Article2011

Multifractal Detrended Cross-Correlation Analysis of agricultural futures markets

Ling‐Yun He · Shupeng Chen

143 citations·0/0 files stored·Chaos Solitons & Fractals

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Statistical Mechanics and Entropy

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References

2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series 2008Multifractal detrended cross-correlation analysis for two nonstationary signals 2009Cross-correlations between volume change and price change 2009Quantifying cross-correlations using local and global detrending approaches 2005Correlation networks among currencies 2009Multifractal detrended cross-correlation analysis of temporal and spatial seismic data

Cited by

2012Multifractal detrended cross-correlations between the Chinese exchange market and stock market 2015Detrended Partial-Cross-Correlation Analysis: A New Method for Analyzing Correlations in Complex System 2013Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient 2012Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets 2013Detrended cross-correlation analysis approach for assessing asymmetric multifractal detrended cross-correlations and their application to the Chinese financial market 2012Price–volume multifractal analysis and its application in Chinese stock markets

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Year2011

Typearticle

Published2011-04-30

VenueChaos Solitons & Fractals

ISSN-L0960-0779

Languageen

Citations143

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.chaos.2010.11.005

openalex_workW2001026352

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2014Multifractal detrended cross-correlation analysis on gold, crude oil and foreign exchange rate time series

2015Joint multifractal analysis based on the partition function approach: analytical analysis, numerical simulation and empirical application