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Multifractal detrended cross-correlation analysis of the oil-dependent economies: Evidence from the West Texas intermediate crude oil and the GCC stock markets
16 references·1 citing·37 second hopsampled
Multifractal detrended cross-correlation analysis of the oil-dependent economies: Evidence from the West Texas intermediate crude oil and the GCC stock markets (2014)Multifractal detrended cross-correlation …Statistical tests for power-law cross-correlated processes (2011)Statistical tests for power-l…Are the responses of the U.S. economy asymmetric in energy price increases and decreases? (2011)Are the responses of the U.S.…Oil Price Uncertainty (2010)Oil Price UncertaintyDetrending moving average algorithm for multifractals (2010)Detrending moving average alg…DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)DCCA cross-correlation coeffi…Quantifying cross-correlations using local and global detrending approaches (2009)Quantifying cross-correlation…Cross-correlations between volume change and price change (2009)Cross-correlations between vo…Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesMultifractal 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…A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries (2008)A Comparison of the Effects o…Second-order moving average and scaling of stochastic time series (2002)Second-order moving average a…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Long-term dependence in common stock returns (1977)Long-term dependence in commo…Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient (2019)Dynamic cross-correlation and…Irreversibility, Uncertainty, and Cyclical Investment (1980)Impulse response analysis in nonlinear multivariate models (1996)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES (2011)Macroeconomic Shocks and Their Propagation (2016)Local Projections and VARs Estimate the Same Impulse Responses (2021)Fractional Differencing (1981)Hierarchical structure in financial markets (1999)Multifractal detrending moving-average cross-correlation analysis (2011)Multifractal analysis of financial markets: a review (2019)The Economics of Exhaustible Resources (1931)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Causes and Consequences of the Oil Shock of 2007-08 (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Carbon Taxes, Path Dependency, and Directed Technical Change: Evidence from the Auto Industry (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Oil shocks, policy uncertainty and stock market return (2013)Introduction to Econophysics (1999)Detecting long-range correlations with detrended fluctuation analysis (2001)Effect of trends on detrended fluctuation analysis (2001)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)Noise Dressing of Financial Correlation Matrices (1999)The Behavior of Stock-Market Prices (1965)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Heterogeneous Agent Models in Economics and Finance (2005)Copula Modeling: An Introduction for Practitioners (2007)Conditional Time Series Forecasting with Convolutional Neural Networks (2017)Modern Portfolio Theory and Investment Analysis. (1982)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Statistical physics of human cooperation (2017)The Variation of Certain Speculative Prices (1963)The Econometrics of Financial Markets (1997)
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References

  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,704 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,658 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,498 cited
  • 2008Understanding Crude Oil Prices1,270 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 2010Oil Price Uncertainty655 cited
  • 2009Cross-correlations between volume change and price change631 cited
  • 2010DCCA cross-correlation coefficient: Quantifying level of cross-correlation611 cited
  • 2011Are the responses of the U.S. economy asymmetric in energy price increases and decreases?576 cited
  • 1977Long-term dependence in common stock returns478 cited
  • 2011Statistical tests for power-law cross-correlated processes443 cited
  • 2010Detrending moving average algorithm for multifractals440 cited
  • 2009Quantifying cross-correlations using local and global detrending approaches424 cited
  • 2002Second-order moving average and scaling of stochastic time series

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408 cited
  • 2008A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries394 cited
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    • 2019Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient48 cited