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Multifractal Detrended Cross-Correlation Analysis of agricultural futures markets
6 references·16 citing·37 second hop
Multifractal Detrended Cross-Correlation Analysis of agricultural futures markets (2011)Multifractal Detrended Cross-Correlation …Quantifying cross-correlations using local and global detrending approaches (2009)Quantifying cross-correlation…Multifractal detrended cross-correlation analysis of temporal and spatial seismic data (2009)Multifractal detrended cross-…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…Correlation networks among currencies (2005)Correlation networks among cu…How connected is the agricultural commodity market to the news-based investor sentiment? (2022)How connected is the agricult…The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns (2021)The effect of temperature ano…The (in)efficiency of NYMEX energy futures: A multifractal analysis (2020)The (in)efficiency of NYMEX e…Taxonomy of commodities assets via complexity-entropy causality plane (2020)Taxonomy of commodities asset…A modified Multifractal Detrended Fluctuation Analysis (MFDFA) approach for multifractal analysis of precipitation (2020)A modified Multifractal Detre…Multifractal properties of price change and volume change of stock market indices (2015)Multifractal properties of pr…Joint multifractal analysis based on the partition function approach: analytical analysis, numerical simulation and empirical application (2015)Joint multifractal analysis b…Detrended Partial-Cross-Correlation Analysis: A New Method for Analyzing Correlations in Complex System (2015)Detrended Partial-Cross-Corre…Multifractal detrended cross-correlation analysis on gold, crude oil and foreign exchange rate time series (2014)Multifractal detrended cross-…Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient (2013)Random matrix theory analysis…Multifractal detrended cross-correlation analysis for power markets (2013)Multifractal detrended cross-…Detrended cross-correlation analysis approach for assessing asymmetric multifractal detrended cross-correlations and their application to the Chinese financial market (2013)Detrended cross-correlation a…Price–volume multifractal analysis and its application in Chinese stock markets (2012)Price–volume multifractal ana…Multifractal detrended cross-correlations between the Chinese exchange market and stock market (2012)Multifractal detrended cross-…Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets (2012)Multifractal detrended cross-…Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket (2012)Cross-correlations between Re…Introduction to Econophysics (1999)Effect of trends on detrended fluctuation analysis (2001)Multifractal Detrended Cross-Correlation Analysis of sunspot numbers and river flow fluctuations (2010)Analysis of the impact of COVID-19 on the correlations between crude oil and agricultural futures (2020)Noise Dressing of Financial Correlation Matrices (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Cross-correlations between crude oil and agricultural commodity markets (2013)Statistical Properties of the Foreign Exchange Network at Different Time Scales: Evidence from Detrended Cross-Correlation Coefficient and Minimum Spanning Tree (2013)Collective behavior of cryptocurrency price changes (2018)Fractional Brownian Motions, Fractional Noises and Applications (1968)Long-Term Memory in Stock Market Prices (1991)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Cross-correlations between Baltic Dry Index and crude oil prices (2016)Detecting long-range correlations with detrended fluctuation analysis (2001)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Detrending moving average algorithm for multifractals (2010)Statistical tests for power-law cross-correlated processes (2011)Fractional Differencing (1981)Time Series Analysis Forecasting and Control. 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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
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 2009Cross-correlations between volume change and price change631 cited
  • 2009Quantifying cross-correlations using local and global detrending approaches424 cited
  • 2005Correlation networks among currencies199 cited
  • 2009Multifractal detrended cross-correlation analysis of temporal and spatial seismic data164 cited

Cited by

  • 2015Detrended Partial-Cross-Correlation Analysis: A New Method for Analyzing Correlations in Complex System134 cited
  • 2012Multifractal detrended cross-correlations between the Chinese exchange market and stock market134 cited
  • 2013Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient128 cited
  • 2012Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets110 cited
  • 2013Detrended cross-correlation analysis approach for assessing asymmetric multifractal detrended cross-correlations and their application to the Chinese financial market108 cited
  • 2012Price–volume multifractal analysis and its application in Chinese stock markets97 cited
  • 2014Multifractal detrended cross-correlation analysis on gold, crude oil and foreign exchange rate time series

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86 cited
  • 2015Joint multifractal analysis based on the partition function approach: analytical analysis, numerical simulation and empirical application80 cited
  • 2013Multifractal detrended cross-correlation analysis for power markets75 cited
  • 2021The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns72 cited
  • 2015Multifractal properties of price change and volume change of stock market indices72 cited
  • 2022How connected is the agricultural commodity market to the news-based investor sentiment?68 cited
  • 2020Taxonomy of commodities assets via complexity-entropy causality plane66 cited
  • 2012Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket65 cited
  • 2020A modified Multifractal Detrended Fluctuation Analysis (MFDFA) approach for multifractal analysis of precipitation57 cited
  • 2020The (in)efficiency of NYMEX energy futures: A multifractal analysis56 cited