A new approach to quantify power-law cross-correlation and its application to commodity markets-Reference-Cited by-同舟云学术

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A new approach to quantify power-law cross-correlation and its application to commodity markets

Published:2011-10 Issue:21-22 Volume:390 Page:3806-3814
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

He Ling-Yun,Chen Shu-Peng

Funder

Program for New Century Excellent Talents in University

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference47 articles.

1. Multifractal properties of price fluctuations of stocks and commodities;Matia;Europhysics Letters,2003

2. Multifractal detrended fluctuation analysis of nonstationary time series;Kantelhardt;Physica A: Statistical Mechanics and its Applications,2002

3. Nonlinear bivariate dependency of price–volume relationships in agricultural commodity futures markets: a perspective from multifractal detrended cross-correlation analysis;He;Physica A: Statistcal Mechanics and its Applications,2011

4. Are developed and emerging agricultural futures markets multifractal? A comparative perspective;He;Physica A: Statistical Mechanics and its Applications,2010

5. Are crude oil markets multifractal? Evidence from MF-DFA and MF-SSA perspectives;He;Physica A: Statistial Mechanics and its Applications,2010

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