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Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations

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  1. Dong, Keqiang & Zhang, Hong & Gao, You, 2017. "Dynamical mechanism in aero-engine gas path system using minimum spanning tree and detrended cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 363-369.
  2. Teng, Yue & Shang, Pengjian, 2018. "Detrended fluctuation analysis based on higher-order moments of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 311-322.
  3. Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Pawe{l} O'swik{e}cimka & Tomasz Stanisz & Marcin Wk{a}torek, 2020. "Complexity in economic and social systems: cryptocurrency market at around COVID-19," Papers 2009.10030, arXiv.org.
  4. Zhang, Jiao & Li, Youping & Liu, Chunqiong & Wu, Bo & Shi, Kai, 2022. "A study of cross-correlations between PM2.5 and O3 based on Copula and Multifractal methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
  5. He, Huizi & Sun, Mei & Gao, Cuixia & Li, Xiuming, 2021. "Detecting lag linkage effect between economic policy uncertainty and crude oil price: A multi-scale perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
  6. Wang, Jian & Huang, Menghao & Zhang, Yudong & Kim, Junseok, 2022. "Modification of multifractal analysis based on multiplicative cascade image," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
  7. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2022. "Multifractal cross-correlations of bitcoin and ether trading characteristics in the post-COVID-19 time," Papers 2208.01445, arXiv.org.
  8. Stanisław Drożdż & Ludovico Minati & Paweł Oświȩcimka & Marek Stanuszek & Marcin Wa̧torek, 2019. "Signatures of the Crypto-Currency Market Decoupling from the Forex," Future Internet, MDPI, vol. 11(7), pages 1-18, July.
  9. Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Marcin Wk{a}torek, 2023. "What is mature and what is still emerging in the cryptocurrency market?," Papers 2305.05751, arXiv.org.
  10. Oussama Tilfani & My Youssef El Boukfaoui, 2020. "Multifractal Analysis of African Stock Markets During the 2007–2008 US Crisis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-31, January.
  11. Li, Jianxuan & Shi, Yingying & Cao, Guangxi, 2018. "Topology structure based on detrended cross-correlation coefficient of exchange rate network of the belt and road countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1140-1151.
  12. Wang, Fang & Han, Guosheng, 2023. "Coupling correlation adaptive detrended analysis for multiple nonstationary series," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
  13. Li, Tingyi & Xue, Leyang & Chen, Yu & Chen, Feier & Miao, Yuqi & Shao, Xinzeng & Zhang, Chenyi, 2018. "Insights from multifractality analysis of tanker freight market volatility with common external factor of crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 374-384.
  14. Stanis{l}aw Dro.zd.z & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek & Marcin Wk{a}torek, 2019. "Signatures of crypto-currency market decoupling from the Forex," Papers 1906.07834, arXiv.org, revised Jul 2019.
  15. Ge, Xinlei & Lin, Aijing, 2021. "Multiscale multifractal detrended partial cross-correlation analysis of Chinese and American stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 145(C).
  16. Chatterjee, Sucharita, 2020. "Analysis of the human gait rhythm in Neurodegenerative disease: A multifractal approach using Multifractal detrended cross correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
  17. Wang, Fang & Wang, Lin & Chen, Yuming, 2018. "Quantifying the range of cross-correlated fluctuations using a q–L dependent AHXA coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 454-464.
  18. Marcin Wątorek & Jarosław Kwapień & Stanisław Drożdż, 2022. "Multifractal Cross-Correlations of Bitcoin and Ether Trading Characteristics in the Post-COVID-19 Time," Future Internet, MDPI, vol. 14(7), pages 1-15, July.
  19. Lin, Min & Wang, Gang-Jin & Xie, Chi & Stanley, H. Eugene, 2018. "Cross-correlations and influence in world gold markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 504-512.
  20. Zhang, Wei & Li, Yi & Zhang, Zuochao & Shen, Dehua, 2018. "The dynamic cross-correlations between foreign news, local news and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 861-872.
  21. Li, Jianfeng & Lu, Xinsheng & Jiang, Wei & Petrova, Vanya S., 2021. "Multifractal Cross-correlations between foreign exchange rates and interest rate spreads," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  22. Jaros{l}aw Kwapie'n & Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z, 2021. "Cryptocurrency Market Consolidation in 2020--2021," Papers 2112.06552, arXiv.org.
  23. da Silva Filho, A.M. & Zebende, G.F. & de Castro, A.P.N. & Guedes, E.F., 2021. "Statistical test for Multiple Detrended Cross-Correlation Coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
  24. Liu, Xueyong & Jiang, Cheng, 2020. "The dynamic volatility transmission in the multiscale spillover network of the international stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
  25. Chen, Yingyuan & Cai, Lihui & Wang, Ruofan & Song, Zhenxi & Deng, Bin & Wang, Jiang & Yu, Haitao, 2018. "DCCA cross-correlation coefficients reveals the change of both synchronization and oscillation in EEG of Alzheimer disease patients," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 171-184.
  26. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
  27. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2023. "Cryptocurrencies Are Becoming Part of the World Global Financial Market," Papers 2303.00495, arXiv.org.
  28. Liu, Junlin & Chen, Feier, 2018. "Asymmetric volatility varies in different dry bulk freight rate markets under structure breaks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 316-327.
  29. Contreras-Reyes, Javier E. & Idrovo-Aguirre, Byron J., 2020. "Backcasting and forecasting time series using detrended cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
  30. Ruan, Qingsong & Zhou, Mi & Yin, Linsen & Lv, Dayong, 2021. "Hedging effectiveness of Chinese Treasury bond futures: New evidence based on nonlinear analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  31. Anderson Palmeira & Éder Pereira & Paulo Ferreira & Luisa Maria Diele-Viegas & Davidson Martins Moreira, 2022. "Long-Term Correlations and Cross-Correlations in Meteorological Variables and Air Pollution in a Coastal Urban Region," Sustainability, MDPI, vol. 14(21), pages 1-12, November.
  32. Chatterjee, Sucharita & Ghosh, Dipak, 2021. "Impact of Global Warming on SENSEX fluctuations — A study based on Multifractal detrended cross correlation analysis between the temperature anomalies and the SENSEX fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 571(C).
  33. Ruan, Qingsong & Bao, Junjie & Zhang, Manqian & Fan, Limin, 2019. "The effects of exchange rate regime reform on RMB markets: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 122-134.
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