Portfolio strategy of International crude oil markets: A study based on multiwavelet denoising-integration MF-DCCA method-Reference-Cited by-同舟云学术

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Portfolio strategy of International crude oil markets: A study based on multiwavelet denoising-integration MF-DCCA method

Published:2019-12 Issue: Volume:535 Page:122515
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:

Zhu Pengfei,Tang Yong,Wei Yu,Dai Yimin

Funder

National Natural Science Foundation of China

Natural Science Foundation of Fujian Province, China

Major projects of social science planning in Fujian

Key Laboratory of Financial Mathematics of Fujian Province University

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference49 articles.

1. The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment;Ding;Appl. Energy,2017

2. Co-movement of coherence between oil prices and the stock market from the joint time-frequency perspective;Huang;Appl. Energy,2018

3. Portfolio selection;Markowitz;Finance,1952

4. Portfolio optimization with conditional Value-at-Risk objective and constraints;Krokhmal;J. Risk,2003

5. CVAR in portfolio optimization: an essay on the French market;Hafsa;Int. J. Financ. Res.,2015

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2. Unraveling the crystal ball: Machine learning models for crude oil and natural gas volatility forecasting;Energy Economics;2024-06

3. STATISTICAL ANALYSIS BY WAVELET LEADERS REVEALS DIFFERENCES IN MULTI-FRACTAL CHARACTERISTICS OF STOCK PRICE AND RETURN SERIES IN TURKISH HIGH FREQUENCY DATA;Fractals;2023-12-08

4. Denoising or distortion: Does decomposition-reconstruction modeling paradigm provide a reliable prediction for crude oil price time series?;Energy Economics;2023-12

5. Portfolio allocation with CEEMDAN denoising algorithm;Soft Computing;2023-07-14

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