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Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
12 references·8 citing·24 second hop
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References

  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 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
  • 2010DCCA cross-correlation coefficient: Quantifying level of cross-correlation611 cited
  • 2011Statistical tests for power-law cross-correlated processes443 cited
  • 2010Detrending moving average algorithm for multifractals440 cited
  • 2002Second-order moving average and scaling of stochastic time series408 cited
  • 2011Multifractal detrending moving-average cross-correlation analysis375 cited
  • 2005Quantifying signals with power-law correlations: A comparative study of detrended fluctuation analysis and detrended moving average techniques285 cited
  • 2010On Hurst exponent estimation under heavy-tailed distributions276 cited
  • 2014Measuring correlations between non-stationary series with DCCA coefficient220 cited
  • 2011Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations208 cited

Cited by

  • 2022How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?178 cited
  • 2015Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations

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167 cited
  • 2014Analysis of detrended time-lagged cross-correlation between two nonstationary time series134 cited
  • 2016Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach104 cited
  • 2018Monitoring in collaborative learning: Co-occurrence of observed behavior and physiological synchrony explored95 cited
  • 2015Joint multifractal analysis based on the partition function approach: analytical analysis, numerical simulation and empirical application80 cited
  • 2014Leverage effect in energy futures77 cited
  • 2019Revisiting stock market integration in Central and Eastern European stock markets with a dynamic analysis33 cited