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Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets
16 references·3 citing·37 second hop
Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets (2016)Multifractal detrended cross-correlations…Statistical tests for power-law cross-correlated processes (2011)Statistical tests for power-l…Multifractal detrending moving-average cross-correlation analysis (2011)Multifractal detrending movin…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…Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis (2009)Analysis of efficiency for Sh…Striking oil: Another puzzle? (2008)Striking oil: Another puzzle?Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Oil price shocks and stock ma…Multifractal 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…Oil price risk and emerging stock markets (2006)Oil price risk and emerging s…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…Oil price risk and the Australian stock market (1999)Oil price risk and the Austra…Determination of the Hurst exponent by use of wavelet transforms (1998)Determination of the Hurst ex…Oil and the Stock Markets (1996)Oil and the Stock MarketsWavelets and multifractal formalism for singular signals: Application to turbulence data (1991)Wavelets and multifractal for…Relationships and portfolios between oil and Chinese stock sectors: A study based on wavelet denoising-higher moments perspective (2020)Relationships and portfolios …Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices (2020)Multifractal detrended cross-…Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis (2018)Detrended correlation coeffic…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Oil prices and the stock prices of alternative energy companies (2007)Oil prices, exchange rates and emerging stock markets (2011)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Detecting long-range correlations with detrended fluctuation analysis (2001)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Detrending moving average algorithm for multifractals (2010)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)Detrended cross-correlation analysis consistently extended to multifractality (2014)Multifractal analysis of financial markets: a review (2019)Stock markets and the COVID-19 fractal contagion effects (2020)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Oil and the Macroeconomy since World War II (1983)Energy shocks and financial markets (1996)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2008)Oil prices, US stock return, and the dependence between their quantiles (2015)The Variation of Certain Speculative Prices (1963)Generalized autoregressive conditional heteroskedasticity (1986)The Econometrics of Financial Markets (1997)Testing for a Unit Root in Time Series Regression (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Renewable energy consumption, CO2 emissions and oil prices in the G7 countries (2009)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)New evidence on oil price and firm returns (2011)Oil Prices and the Stock Market (2012)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method (1993)Multifractal random walk (2001)Physical approach to complex systems (2012)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)
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References

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  • 2008Oil price shocks and stock markets in the U.S. and 13 European countries1,264 cited
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  • 1991Wavelets and multifractal formalism for singular signals: Application to turbulence data786 cited
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 2009Cross-correlations between volume change and price change631 cited
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  • 2002Second-order moving average and scaling of stochastic time series408 cited
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  • 2011Multifractal detrending moving-average cross-correlation analysis375 cited
  • 1998Determination of the Hurst exponent by use of wavelet transforms

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277 cited
  • 2009Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis229 cited
  • Cited by

    • 2018Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis55 cited
    • 2020Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices54 cited
    • 2020Relationships and portfolios between oil and Chinese stock sectors: A study based on wavelet denoising-higher moments perspective48 cited