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Cross-correlation of long-range correlated series
13 references·9 citing·48 second hop
Cross-correlation of long-range correlated series (2009)Cross-correlation of long-range correlate…Estimating Granger Causality from Fourier and Wavelet Transforms of Time Series Data (2008)Estimating Granger Causality …Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…Directionality of coupling from bivariate time series: How to avoid false causalities and missed connections (2007)Directionality of coupling fr…Detrending moving average algorithm: A closed-form approximation of the scaling law (2007)Detrending moving average alg…How rich is the class of multifractional Brownian motions? (2005)How rich is the class of mult…Assessing causality from multivariate time series (2005)Assessing causality from mult…Analysis of clusters formed by the moving average of a long-range correlated time series (2004)Analysis of clusters formed b…Leverage Effect in Financial Markets: The Retarded Volatility Model (2001)Leverage Effect in Financial …Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Why Does Stock Market Volatility Change Over Time? 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this work references cited by second hop

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 2008Estimating Granger Causality from Fourier and Wavelet Transforms of Time Series Data346 cited
  • 2001Leverage Effect in Financial Markets: The Retarded Volatility Model326 cited
  • 2007Directionality of coupling from bivariate time series: How to avoid false causalities and missed connections267 cited
  • 2004Analysis of clusters formed by the moving average of a long-range correlated time series167 cited
  • 2005Assessing causality from multivariate time series133 cited
  • 2007Detrending moving average algorithm: A closed-form approximation of the scaling law116 cited
  • 2005How rich is the class of multifractional Brownian motions?98 cited

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  • 2011Multifractal Fourier detrended cross-correlation analysis of traffic signals99 cited

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  • 2011The cross-correlations of stock markets based on DCCA and time-delay DCCA97 cited
  • 2012Price–volume multifractal analysis and its application in Chinese stock markets97 cited
  • 2015A New Methodology of Spatial Cross-Correlation Analysis91 cited
  • 2015Joint multifractal analysis based on the partition function approach: analytical analysis, numerical simulation and empirical application80 cited
  • 2014Leverage effect in energy futures77 cited
  • 2016Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal)74 cited
  • 2010Basic properties of the Multivariate Fractional Brownian Motion46 cited
  • 2016Cross-correlations between volatility, volatility persistence and stock market integration: the case of emergent stock markets23 cited