Nonlinear bivariate dependency of price–volume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis

By Ling-Yun He, Shu-Peng Chen. 2011

125 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d4ebe794f15d290a6ba071052c16a3a10ef1ba0f

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Citations in the corpus

Mixed-correlated ARFIMA processes for power-law cross-correlations (2013, background): “As the financial time series provide sufficient number of observations and they have been shown to possess long-range auto-correlations (volatility, traded volume, signs of changes and absolute returns to name the most frequently studied ones), these also create an appropriate setting for the power-”
A new approach to quantify power-law cross-correlation and its application to commodity markets (2011, background): “Many simultaneously recorded time series in various real world commodity or financial markets are found to exhibit spatial or temporal cross-correlations [3, 7-17].”
Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, background): “…between the crude oil market and financial markets (e.g., Hassan and Malik, 2007; Lien and Yang, 2008; Malik and Ewing, 2009; Singh et al., 2010; Yilmaz, 2010; Du et al., 2011; He and Chen, 2011; Serra, 2011; Syllignakis et Kouretas, 2011; Arouri et al., 2012; Kumar et al., 2012; Sadorsky, 2012).”
Multifractal detrended cross-correlations between the Chinese exchange market and stock market (2012, methodology): “Moreover, they established theoretical proof of the relationship between the bivariate cross-correlation exponent and the generalized Hurst exponents for the time series of respective variables [39].”
Detrended cross-correlation analysis approach for assessing asymmetric multifractal detrended cross-correlations and their application to the Chinese financial market (2014, unknown): “MF-DCCA is used widely to detect the cross-correlation between financial markets [9–19].”
Autocorrelation and cross-correlation in time series of homicide and attempted homicide (2014, methodology): “Naturally, in the next section, we apply a generalization of the DFA method, called detrended cross-correlation analysis (DCCA), to study the long range cross-correlations in the presence of non-stationarity [49–59].”
Measuring correlations between non-stationary series with DCCA coefficient (2013, background): “Analysis of power-law cross-correlations between various time series has become a popular topic in a broad range of fields—hydrology [1], seismology [2], traffic [3–5], finance [6–9], biometrics [10], (hydro)meteorology [11,12], biology [13], DNA sequences [14], electricity [15], neuroscience [16], ”