Detrended cross-correlation analysis for non-stationary time series with periodic trends
By Davor Horvatic, H. Stanley, B. Podobnik. 2011
325 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Statistical and Nonlinear Physics, Signal Processing
View Paper: https://www.semanticscholar.org/paper/1e7cb608a1af5afe6a4bab5bbbda47f4f873d9a9
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Citations in the corpus
- Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient (2013, methodology): “To address the drawbacks of PCC, based on the detrended fluctuation analysis (DFA) method [35] and the detrended cross-correlation analysis (DCCA) method [36,37], Zebende [34] recently developed a novel detrended cross-correlation coefficient, i.”
- Detrended cross-correlation analysis approach for assessing asymmetric multifractal detrended cross-correlations and their application to the Chinese financial market (2014, unknown): “Although several researchers [20–29] discuss the DCCA methodology, little attention focuses on the asymmetries of the cross-correlation.”
- Autocorrelation and cross-correlation in time series of homicide and attempted homicide (2014, methodology): “Some strategies for time-series analysis have been developed [22,23,27–38].”
- Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA (2013, methodology): “Moreover, the asymmetric MF-DCCAmethod can be proposed in further research as an extension of the detrended cross-correlations method [46,58–61] to study the relationship of multifractality and long-range cross-correlations when the market is going up and down.”
- Multifractal detrended cross-correlations between the Chinese exchange market and stock market (2012, methodology): “Since then, DCCA and MF-DCCA have been discussed on methodology [28–34] and used widely in the detection of cross-correlations between two financial series in several papers [35–39].”