Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets-Reference-Cited by-同舟云学术

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Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets

Published:2017-04 Issue: Volume:472 Page:67-76
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:

Cao Guangxi,Zhang Minjia,Li Qingchen

Funder

National Natural Science Foundation of China

Ministry of Education of the People’s Republic of China

Qing Lan Project of Jiangsu Province

Program for Innovative Team of Shanghai University of Finance and Economics

Flagship Major Development of Jiangsu Higher Education Institutions

Priority Academic Program Development of Jiangsu Higher Education Institutions

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference44 articles.

1. Mosaic rganization of DNA nucleotides;Peng;Phys. Rev. E,1994

2. Multifractal detrended fluctuation analysis of nonstationary time series;Kantelhardt;Physica A,2002

3. Detrended cross-correlation analysis: a new method for analyzing two nonstationary time series;Podobnik;Phys. Rev. Lett.,2008

4. Multifractal detrended cross-correlation analysis for two nonstationary signals;Zhou;Phys. Rev. E,2008

5. Extreme values in the Chinese and American stock markets based on detrended fluctuation analysis;Cao;Physica A,2015

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