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A DFA approach for assessing asymmetric correlations
6 references·14 citing·41 second hopsampled
A DFA approach for assessing asymmetric correlations (2009)A DFA approach for assessing asymmetric c…Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (2006)Asymmetries in Stock Returns:…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…Cryptocurrencies and global sustainability: do blockchained sectors have distinctive effects? (2023)Cryptocurrencies and global s…Dynamic risks from climate policy uncertainty: A case study for the natural gas market (2022)Dynamic risks from climate po…Dynamic Asymmetric Causality Tests with an Application (2022)Dynamic Asymmetric Causality …Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19 (2022)Comparing the asymmetric effi…Asymmetric multifractality, comparative efficiency analysis of green finance markets: A dynamic study by index-based model (2022)Asymmetric multifractality, c…Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour (2020)Are clean energy stocks effic…Analysis of the Informational Efficiency of the EU Carbon Emission Trading Market: Asymmetric MF-DFA Approach (2020)Analysis of the Informational…Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA (2017)Asymmetric multi-fractality i…Asymmetric MF-DCCA method based on risk conduction and its application in the Chinese and foreign stock markets (2016)Asymmetric MF-DCCA method bas…Classifying of financial time series based on multiscale entropy and multiscale time irreversibility (2014)Classifying of financial time…Using Detrended Cross-Correlation Analysis in geophysical data (2013)Using Detrended Cross-Correla…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…DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches (2013)DCCA cross-correlation coeffi…Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing (2012)Is the UAE stock market integ…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Fractional Differencing (1981)Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Statistical Properties of the Foreign Exchange Network at Different Time Scales: Evidence from Detrended Cross-Correlation Coefficient and Minimum Spanning Tree (2013)Long-term correlations and cross-correlations in wind speed and solar radiation temporal series from Fernando de Noronha Island, Brazil (2015)Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach (2016)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)An Introduction to Copulas (1999)Principal Components as a Measure of Systemic Risk (2011)A review of copula models for economic time series (2012)Multifractal analysis of financial markets: a review (2019)Effect of trends on detrended fluctuation analysis (2001)Effect of nonstationarities on detrended fluctuation analysis (2002)Cross-correlation analysis of stock markets using EMD and EEMD (2015)DCCA analysis of renewable and conventional energy prices (2017)Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis (2018)Introduction to Econophysics (1999)Detecting long-range correlations with detrended fluctuation analysis (2001)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)International Asset Allocation With Regime Shifts (2002)Nonlinear structure analysis of carbon and energy markets with MFDCCA based on maximum overlap wavelet transform (2015)Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis (2019)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)The measurement of urban travel demand (1974)Limited-Dependent and Qualitative Variables in Econometrics (1983)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2009)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Asymmetric multifractality: Comparative efficiency analysis of global technological and renewable energy prices using MFDFA and A-MFDFA approaches (2023)Financial Contagion (2000)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The distribution of realized stock return volatility (2001)Asset pricing with liquidity risk (2005)
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References

  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,704 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2003A New Approach to Measuring Financial Contagion1,047 cited
  • 2000A New Approach to Measuring Financial Contagion734 cited
  • 2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation391 cited

Cited by

  • 2013Detrended cross-correlation analysis approach for assessing asymmetric multifractal detrended cross-correlations and their application to the Chinese financial market108 cited
  • 2013DCCA cross-correlation coefficient differentiation: Theoretical and practical approaches105 cited
  • 2020Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour70 cited
  • 2013Using Detrended Cross-Correlation Analysis in geophysical data66 cited
  • 2022Dynamic risks from climate policy uncertainty: A case study for the natural gas market62 cited
  • 2022Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-1961 cited
  • 2017Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA56 cited
  • 2014Classifying of financial time series based on multiscale entropy and multiscale time irreversibility

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51 cited
  • 2022Asymmetric multifractality, comparative efficiency analysis of green finance markets: A dynamic study by index-based model49 cited
  • 2016Asymmetric MF-DCCA method based on risk conduction and its application in the Chinese and foreign stock markets48 cited
  • 2012Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing38 cited
  • 2023Cryptocurrencies and global sustainability: do blockchained sectors have distinctive effects?33 cited
  • 2020Analysis of the Informational Efficiency of the EU Carbon Emission Trading Market: Asymmetric MF-DFA Approach24 cited
  • 2022Dynamic Asymmetric Causality Tests with an Application20 cited