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Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes

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  1. İşcanoğlu-Çekiç, Ayşegül & Gülteki̇n, Havva, 2019. "Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 978-990.
  2. Sanyal, Shankha & Banerjee, Archi & Patranabis, Anirban & Banerjee, Kaushik & Sengupta, Ranjan & Ghosh, Dipak, 2016. "A study on Improvisation in a Musical performance using Multifractal Detrended Cross Correlation Analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 67-83.
  3. Li, Jianfeng & Lu, Xinsheng & Zhou, Ying, 2016. "Cross-correlations between crude oil and exchange markets for selected oil rich economies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 131-143.
  4. Yin, Yi & Shang, Pengjian & Feng, Guochen, 2016. "Modified multiscale cross-sample entropy for complex time series," Applied Mathematics and Computation, Elsevier, vol. 289(C), pages 98-110.
  5. Zhao, Xiaojun & Shang, Pengjian & Lin, Aijing & Chen, Gang, 2011. "Multifractal Fourier detrended cross-correlation analysis of traffic signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3670-3678.
  6. Min, Seungsik & Shin, Ki-Hong & Baek, Woonhak & Kim, Kyungsik & You, Cheol-Hwan & Lee, Dong-In & Yum, Seong Soo & Kim, Wonheung & Chang, Ki-Ho, 2020. "Dynamical behavior of combined detrended cross-correlation analysis methods in random walks and Lévy flights," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  7. Cai, Chunhao & Cheng, Xuwen & Xiao, Weilin & Wu, Xiang, 2019. "Parameter identification for mixed fractional Brownian motions with the drift parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  8. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
  9. Li, Shuping & Lu, Xinsheng & Li, Jianfeng, 2021. "Cross-correlations between the P2P interest rate, Shibor and treasury yields," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  10. 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.
  11. Wu, Yue & Shang, Pengjian & Chen, Shijian, 2019. "Modified multifractal large deviation spectrum based on CID for financial market system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1331-1342.
  12. Yin, Yi & Shang, Pengjian & Ahn, Andrew C. & Peng, Chung-Kang, 2019. "Multiscale joint permutation entropy for complex time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 388-402.
  13. Wang, Luo-Qing & Xu, Yong-Xiang, 2018. "Distribution of individual status in the invisibility similarity network of new social strata in Shanghai," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 426-434.
  14. El Alaoui, Marwane & Benbachir, Saâd, 2013. "Multifractal detrended cross-correlation analysis in the MENA area," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5985-5993.
  15. Kristoufek, Ladislav, 2015. "On the interplay between short and long term memory in the power-law cross-correlations setting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 218-222.
  16. Lin, Guancen & Lin, Aijing, 2022. "Modified multiscale sample entropy and cross-sample entropy based on horizontal visibility graph," Chaos, Solitons & Fractals, Elsevier, vol. 165(P1).
  17. Li, Zhihui & Lu, Xinsheng, 2012. "Cross-correlations between agricultural commodity futures markets in the US and China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3930-3941.
  18. Xiong, Hui & Shang, Pengjian & Xia, Jianan & Wang, Jing, 2018. "Time irreversibility and intrinsics revealing of series with complex network approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 241-249.
  19. Liu, Li & Wan, Jieqiu, 2011. "A study of correlations between crude oil spot and futures markets: A rolling sample test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3754-3766.
  20. Al Rahahleh, Naseem & Bhatti, M. Ishaq, 2017. "Co-movement measure of information transmission on international equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 119-131.
  21. Xu, Meng & Shang, Pengjian, 2018. "Analysis of financial time series using multiscale entropy based on skewness and kurtosis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1543-1550.
  22. Liu, Li-Zhi & Qian, Xi-Yuan & Lu, Heng-Yao, 2010. "Cross-sample entropy of foreign exchange time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4785-4792.
  23. He, Jiayi & Shang, Pengjian & Xiong, Hui, 2018. "Multidimensional scaling analysis of financial time series based on modified cross-sample entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 210-221.
  24. Cao, Guangxi & Xie, Wenhao, 2022. "Detrended multiple moving average cross-correlation analysis and its application in the correlation measurement of stock market in Shanghai, Shenzhen, and Hong Kong," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 590(C).
  25. Zhang, Fan & Shang, Pengjian & Zhang, Boyi, 2024. "A new spectral distance based on adaptive selection algorithm for non-stationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 636(C).
  26. Lin, Guancen & Lin, Aijing & Mi, Yujia & Gu, Danlei, 2023. "Measurement of information transfer based on phase increment transfer entropy," Chaos, Solitons & Fractals, Elsevier, vol. 174(C).
  27. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2011. "Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 864-875.
  28. Ma, Feng & Wei, Yu & Huang, Dengshi, 2013. "Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1659-1670.
  29. Gajda, Janusz & Bartnicki, Grzegorz & Burnecki, Krzysztof, 2018. "Modeling of water usage by means of ARFIMA–GARCH processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 644-657.
  30. 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.
  31. Yin, Yi & Wang, Xi & Li, Qiang & Shang, Pengjian, 2020. "Generalized multivariate multiscale sample entropy for detecting the complexity in complex systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  32. He, Ling-Yun & Chen, Shu-Peng, 2011. "A new approach to quantify power-law cross-correlation and its application to commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3806-3814.
  33. Kristoufek, Ladislav, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6484-6493.
  34. Yang, Yujun & Li, Jianping & Yang, Yimei, 2017. "The cross-correlation analysis of multi property of stock markets based on MM-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 23-33.
  35. Cao, Guangxi & Xu, Wei, 2016. "Multifractal features of EUA and CER futures markets by using multifractal detrended fluctuation analysis based on empirical model decomposition," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 212-222.
  36. Zhang, Xiaonei & Zeng, Ming & Meng, Qinghao, 2018. "Multivariate multifractal detrended fluctuation analysis of 3D wind field signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 513-523.
  37. Ladislav Kristoufek, 2016. "Power-law cross-correlations estimation under heavy tails," Papers 1602.05385, arXiv.org, revised Apr 2016.
  38. Kristoufek, Ladislav, 2014. "Measuring correlations between non-stationary series with DCCA coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 291-298.
  39. Zhou, Yu & Chen, Shi, 2016. "Cross-correlation analysis between Chinese TF contracts and treasury ETF based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 117-127.
  40. Siqueira, Erinaldo Leite & Stošić, Tatijana & Bejan, Lucian & Stošić, Borko, 2010. "Correlations and cross-correlations in the Brazilian agrarian commodities and stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2739-2743.
  41. Teng, Yue & Shang, Pengjian, 2017. "Transfer entropy coefficient: Quantifying level of information flow between financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 60-70.
  42. Yeh, Chien-Hung & Lo, Men-Tzung & Hu, Kun, 2016. "Spurious cross-frequency amplitude–amplitude coupling in nonstationary, nonlinear signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 454(C), pages 143-150.
  43. Ladislav Kristoufek, 2018. "Power-law cross-correlations: Issues, solutions and future challenges," Papers 1806.01616, arXiv.org.
  44. Nguyen, Cuong & Ishaq Bhatti, M. & Henry, Darren, 2017. "Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 480(C), pages 10-21.
  45. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
  46. Gajardo, Gabriel & Kristjanpoller, Werner, 2017. "Asymmetric multifractal cross-correlations and time varying features between Latin-American stock market indices and crude oil market," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 121-128.
  47. Xu, Meng & Shang, Pengjian & Zhang, Sheng, 2021. "Multiscale Rényi cumulative residual distribution entropy: Reliability analysis of financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
  48. Contreras-Reyes, Javier E. & Jeldes-Delgado, Fabiola & Carrasco, Raúl, 2024. "Jensen-Detrended Cross-Correlation function for non-stationary time series with application to Latin American stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 654(C).
  49. Wang, Gang-Jin & Xie, Chi & He, Ling-Yun & Chen, Shou, 2014. "Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 70-79.
  50. Zhang, Xili & Xiao, Weilin, 2017. "Arbitrage with fractional Gaussian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 620-628.
  51. El Alaoui, Marwane, 2017. "Price–volume multifractal analysis of the Moroccan stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 473-485.
  52. Lu, Feiyu & Yuan, Naiming & Fu, Zuntao & Mao, Jiangyu, 2012. "Universal scaling behaviors of meteorological variables’ volatility and relations with original records," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4953-4962.
  53. Li, Chao & Shang, Pengjian, 2018. "Complexity analysis based on generalized deviation for financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 118-128.
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