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ArticleA DFA approach for assessing asymmetric correlations

José Álvarez‐Ramírez2009

Article2009

A DFA approach for assessing asymmetric correlations

José Álvarez‐Ramírez · Eduardo Rodríguez · Juan Carlos Echeverría

121 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Complex Systems and Time Series Analysis Time Series Analysis and Forecasting Statistical Mechanics and Entropy

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References

2002Multifractal detrended fluctuation analysis of nonstationary time series 2001Extreme Correlation of International Equity Markets 2002Asymmetric correlations of equity portfolios 2003A New Approach to Measuring Financial Contagion 2000A New Approach to Measuring Financial Contagion 2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

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2013Detrended cross-correlation analysis approach for assessing asymmetric multifractal detrended cross-correlations and their application to the Chinese financial market 2013DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches 2020Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour 2013Using Detrended Cross-Correlation Analysis in geophysical data 2022Dynamic risks from climate policy uncertainty: A case study for the natural gas market 2022Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19 2017Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA

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Year2009

Typearticle

Published2009-03-14

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations121

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.physa.2009.03.007

openalex_workW2013391477

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2014Classifying of financial time series based on multiscale entropy and multiscale time irreversibility