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

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Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series (2013, methodology): “For the bivariate series, He & Chen [6] propose the detrending moving-average crosscorrelation analysis (DMCA) which can be seen as a detrended covariance.”
Multifractal detrended cross-correlations between the Chinese exchange market and stock market (2012, background): “[28] and [48], the curves of Fq(s) versus s in log–log scales of MF-X-DMA have smaller fluctuations than MF-X-DFA (i.”
Measuring correlations between non-stationary series with DCCA coefficient (2013, methodology): “For an estimation of parameters λ and Hxy, several estimators have been proposed—(multifractal) detrended crosscorrelation analysis (DCCAandMF-DXA, also referred to asMF-X-DFA) [19,20], detrendingmoving-average cross-correlation analysis (DMCA) [8], their combination of multifractal detrending movin”
Autocorrelation and cross-correlation in time series of homicide and attempted homicide (2014, methodology): “We can point out other methods of estimation of the λ [60–63].”
Mixed-correlated ARFIMA processes for power-law cross-correlations (2013, methodology): “The detrending moving average (DMA) [30] is generalized by He and Chen [31] forming the detrended movingaverage cross-correlation analysis (DMCA).”