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DCCA cross-correlation coefficient: Quantifying level of cross-correlation

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Cited by:

  1. Ferreira, Paulo & Pereira, Éder & Silva, Marcus, 2020. "The relationship between oil prices and the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  2. Kar, Alpa & Chatterjee, Sucharita & Ghosh, Dipak, 2019. "Multifractal detrended cross correlation analysis of Land-surface temperature anomalies and Soil radon concentration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 236-247.
  3. Bashir, Usman & Zebende, Gilney Figueira & Yu, Yugang & Hussain, Muntazir & Ali, Ahmed & Abbas, Ghulam, 2019. "Differential market reactions to pre and post Brexit referendum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 151-158.
  4. 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.
  5. Cai, Yuxin & Lu, Xinsheng & Ren, Yongping & Qu, Ling, 2019. "Exploring the dynamic relationship between crude oil price and implied volatility indices: A MF-DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  6. Kristoufek, Ladislav, 2015. "Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 194-205.
  7. Oussama Tilfani & Paulo Ferreira & Andreia Dionisio & My Youssef El Boukfaoui, 2020. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients," JRFM, MDPI, vol. 13(5), pages 1-23, May.
  8. Qin, Jing & Ge, Jintian & Lu, Xinsheng, 2018. "The effectiveness of the monetary policy in China: New evidence from long-range cross-correlation analysis and the components of multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1026-1037.
  9. Ben-Salha, Ousama & Mokni, Khaled, 2022. "Detrended cross-correlation analysis in quantiles between oil price and the US stock market," Energy, Elsevier, vol. 242(C).
  10. Bashir, Usman & Yu, Yugang & Hussain, Muntazir & Zebende, Gilney F., 2016. "Do foreign exchange and equity markets co-move in Latin American region? Detrended cross-correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 889-897.
  11. Ferreira, Paulo & Kristoufek, Ladislav, 2017. "What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 554-566.
  12. Zhang, Yali & Wang, Jun, 2019. "Linkage influence of energy market on financial market by multiscale complexity synchronization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 254-266.
  13. Grigory Bautin & Valery Kalyagin & Alexander Koldanov & Petr Koldanov & Panos Pardalos, 2013. "Simple measure of similarity for the market graph construction," Computational Management Science, Springer, vol. 10(2), pages 105-124, June.
  14. da Silva, Marcus Fernandes & Leão Pereira, Éder Johnson de Area & da Silva Filho, Aloisio Machado & Nunes de Castro, Arleys Pereira & Miranda, José Garcia Vivas & Zebende, Gilney Figueira, 2015. "Quantifying cross-correlation between Ibovespa and Brazilian blue-chips: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 124-129.
  15. Wang, Fang & Yang, Zhaohui & Wang, Lin, 2016. "Detecting and quantifying cross-correlations by analogous multifractal height cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 954-962.
  16. 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.
  17. repec:aly:journl:201605 is not listed on IDEAS
  18. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
  19. Gu, Rongbao & Shao, Yanmin, 2016. "How long the singular value decomposed entropy predicts the stock market? — Evidence from the Dow Jones Industrial Average Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 150-161.
  20. Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
  21. Guedes, E.F. & da Silva Filho, A.M. & Zebende, G.F., 2021. "Detrended multiple cross-correlation coefficient with sliding windows approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  22. Sara Ariza-Murillo & Fredy Gamboa-Estrada & Camilo Andrés Orozco-Vanegas, 2023. "El impacto potencial de los movimientos de portafolio de los inversionistas extranjeros sobre la tasa de cambio en Colombia," Borradores de Economia 1261, Banco de la Republica de Colombia.
  23. Shen, Chen-hua & Li, Chao-ling & Si, Ya-li, 2015. "A detrended cross-correlation analysis of meteorological and API data in Nanjing, China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 417-428.
  24. Longfeng Zhao & Wei Li & Andrea Fenu & Boris Podobnik & Yougui Wang & H. Eugene Stanley, 2017. "The q-dependent detrended cross-correlation analysis of stock market," Papers 1705.01406, arXiv.org, revised Jun 2017.
  25. Zhang, Guofu & Li, Jingjing, 2018. "Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 611-622.
  26. 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.
  27. 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.
  28. Kristoufek, Ladislav, 2014. "Leverage effect in energy futures," Energy Economics, Elsevier, vol. 45(C), pages 1-9.
  29. Paulo Ferreira, 2020. "Dynamic long-range dependences in the Swiss stock market," Empirical Economics, Springer, vol. 58(4), pages 1541-1573, April.
  30. 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).
  31. Cao, Guangxi & Han, Yan & Cui, Weijun & Guo, Yu, 2014. "Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 308-320.
  32. Delignières, Didier & Marmelat, Vivien, 2014. "Strong anticipation and long-range cross-correlation: Application of detrended cross-correlation analysis to human behavioral data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 47-60.
  33. Jin, Xiaoye, 2017. "Time-varying return-volatility relation in international stock markets," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 157-173.
  34. Kristoufek, Ladislav, 2015. "Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 431(C), pages 124-127.
  35. Oussama Tilfani & Paulo Ferreira & My Youssef El Boukfaoui, 2021. "Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient," Empirical Economics, Springer, vol. 60(3), pages 1127-1156, March.
  36. 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).
  37. Cao, Guangxi & Xu, Longbing & Cao, Jie, 2012. "Multifractal detrended cross-correlations between the Chinese exchange market and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4855-4866.
  38. Éder Pereira & Paulo Ferreira & Derick Quintino, 2022. "Non-Fungible Tokens (NFTs) and Cryptocurrencies: Efficiency and Comovements," FinTech, MDPI, vol. 1(4), pages 1-8, October.
  39. Okorie, David Iheke & Lin, Boqiang, 2021. "Stock markets and the COVID-19 fractal contagion effects," Finance Research Letters, Elsevier, vol. 38(C).
  40. Wang, Jian & Shao, Wei & Kim, Junseok, 2020. "Multifractal detrended cross-correlation analysis between respiratory diseases and haze in South Korea," Chaos, Solitons & Fractals, Elsevier, vol. 135(C).
  41. 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.
  42. Kristoufek, Ladislav, 2014. "Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 406(C), pages 169-175.
  43. Paulo Ferreira & Andreia Dionisio, 2015. "Revisiting Covered Interest Parity in the European Union: the DCCA Approach," International Economic Journal, Taylor & Francis Journals, vol. 29(4), pages 597-615, December.
  44. Ferreira, Paulo & Kristoufek, Ladislav, 2020. "Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
  45. Paulo Ferreira, 2017. "Portuguese and Brazilian stock market integration: a non-linear and detrended approach," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(1), pages 49-63, April.
  46. Wang, Dong-Hua & Suo, Yuan-Yuan & Yu, Xiao-Wen & Lei, Man, 2013. "Price–volume cross-correlation analysis of CSI300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1172-1179.
  47. Barreto, Ikaro Daniel de Carvalho & Dore, Luiz Henrique & Stosic, Tatijana & Stosic, Borko D., 2021. "Extending DFA-based multiple linear regression inference: Application to acoustic impedance models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
  48. Zebende, G.F. & Brito, A.A. & Silva Filho, A.M. & Castro, A.P., 2018. "ρDCCA applied between air temperature and relative humidity: An hour/hour view," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 17-26.
  49. Reboredo, Juan Carlos & Rivera-Castro, Miguel A. & Zebende, Gilney F., 2014. "Oil and US dollar exchange rate dependence: A detrended cross-correlation approach," Energy Economics, Elsevier, vol. 42(C), pages 132-139.
  50. Ladislav Kristoufek & Paulo Ferreira, 2018. "Capital asset pricing model in Portugal: Evidence from fractal regressions," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 17(3), pages 173-183, November.
  51. Nascimento Filho, A.S. & Pereira, E.J.A.L. & Ferreira, Paulo & Murari, T.B. & Moret, M.A., 2018. "Cross-correlation analysis on Brazilian gasoline retail market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 550-557.
  52. 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).
  53. Zebende, G.F. & da Silva Filho, A.M., 2018. "Detrended Multiple Cross-Correlation Coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 91-97.
  54. Guedes, E.F. & Ferreira, Paulo & Dionísio, Andreia & Zebende, G.F., 2019. "An econophysics approach to study the effect of BREXIT referendum on European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1175-1182.
  55. da Silva, Marcus Fernandes & de Area Leão Pereira, Éder Johnson & da Silva Filho, Aloisio Machado & de Castro, Arleys Pereira Nunes & Miranda, José Garcia Vivas & Zebende, Gilney Figueira, 2016. "Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal)," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 1-8.
  56. Kakinaka, Shinji & Umeno, Ken, 2022. "Asymmetric volatility dynamics in cryptocurrency markets on multi-time scales," Research in International Business and Finance, Elsevier, vol. 62(C).
  57. Dong, Xiaofeng & Fan, Qingju & Li, Dan, 2023. "Detrending moving-average cross-correlation based principal component analysis of air pollutant time series," Chaos, Solitons & Fractals, Elsevier, vol. 172(C).
  58. Zhai, Lu-Sheng & Zong, Yan-Bo & Wang, Hong-Mei & Yan, Cong & Gao, Zhong-Ke & Jin, Ning-De, 2017. "Characterization of flow pattern transitions for horizontal liquid–liquid pipe flows by using multi-scale distribution entropy in coupled 3D phase space," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 136-147.
  59. Miśkiewicz, Janusz & Tadla, Adrian & Trela, Zenon, 2019. "Does the monetary policy influenced cross-correlations on the main world stocks markets? Power Law Classification Scheme analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 519(C), pages 72-81.
  60. 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.
  61. Charutha, S. & Gopal Krishna, M. & Manimaran, P., 2020. "Multifractal analysis of Indian public sector enterprises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  62. 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.
  63. 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.
  64. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
  65. Xi, Caiping & Zhang, Shuning & Xiong, Gang & Zhao, Huichang & Yang, Yonghong, 2017. "The application of the multifractal cross-correlation analysis methods in radar target detection within sea clutter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 839-854.
  66. Xiaowei Wei & Hongbo Zhang & Xinghui Gong & Xingchen Wei & Chiheng Dang & Tong Zhi, 2020. "Intrinsic Cross-Correlation Analysis of Hydro-Meteorological Data in the Loess Plateau, China," IJERPH, MDPI, vol. 17(7), pages 1-16, April.
  67. Kunkler, Michael & MacDonald, Ronald, 2019. "The multilateral relationship between oil and G10 currencies," Energy Economics, Elsevier, vol. 78(C), pages 444-453.
  68. Paulo Ferreira & Éder Pereira, 2019. "The impact of the Brexit referendum on British and European Union bank shares: a cross-correlation analysis with national indices," Economics Bulletin, AccessEcon, vol. 39(1), pages 335-346.
  69. Ferreira, Paulo & Dionísio, Andreia & Zebende, G.F., 2016. "Why does the Euro fail? The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 543-554.
  70. 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.
  71. Wang, Jian & Shao, Wei & Kim, Junseok, 2020. "Analysis of the impact of COVID-19 on the correlations between crude oil and agricultural futures," Chaos, Solitons & Fractals, Elsevier, vol. 136(C).
  72. 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.
  73. Paulo Ferreira & Éder J. A. L. Pereira & Hernane B. B. Pereira, 2020. "The Exposure of European Union Productive Sectors to Oil Price Changes," Sustainability, MDPI, vol. 12(4), pages 1-16, February.
  74. Mohti, Wahbeeah & Dionísio, Andreia & Vieira, Isabel & Ferreira, Paulo, 2019. "Financial contagion analysis in frontier markets: Evidence from the US subprime and the Eurozone debt crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1388-1398.
  75. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
  76. Natália Costa & César Silva & Paulo Ferreira, 2019. "Long-Range Behaviour and Correlation in DFA and DCCA Analysis of Cryptocurrencies," IJFS, MDPI, vol. 7(3), pages 1-12, September.
  77. da Silva Filho, A.M. & Zebende, G.F. & Guedes, E.F., 2021. "Analysis of intentional lethal violent crimes: A sliding windows approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
  78. Guedes, E.F. & Brito, A.A. & Oliveira Filho, F.M. & Fernandez, B.F. & de Castro, A.P.N. & da Silva Filho, A.M. & Zebende, G.F., 2018. "Statistical test for ΔρDCCA cross-correlation coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 501(C), pages 134-140.
  79. Ruan, Qingsong & Yang, Bingchan, 2017. "The effects of common risk factors on stock returns: A detrended cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 362-374.
  80. 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.
  81. Erdem, Orhan & Ceyhan, Elvan & Varli, Yusuf, 2014. "A new correlation coefficient for bivariate time-series data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 274-284.
  82. Wang, Hong-Yong & Wang, Tong-Tong, 2018. "Multifractal analysis of the Chinese stock, bond and fund markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 280-292.
  83. Fan, Xiaoqian & Yuan, Ying & Zhuang, Xintian & Jin, Xiu, 2017. "Long memory of abnormal investor attention and the cross-correlations between abnormal investor attention and trading volume, volatility respectively," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 323-333.
  84. 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.
  85. Zhang, Wei & Wang, Jun, 2017. "Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 29-41.
  86. Mbatha, Vusisizwe Moses & Alovokpinhou, Sedjro Aaron, 2022. "The structure of the South African stock market network during COVID-19 hard lockdown," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 590(C).
  87. Huang, Shupei & An, Haizhong & Lucey, Brian, 2020. "How do dynamic responses of exchange rates to oil price shocks co-move? From a time-varying perspective," Energy Economics, Elsevier, vol. 86(C).
  88. Liu, Li & Chen, Ching-Cheng & Wan, Jieqiu, 2013. "Is world oil market “one great pool”?: An example from China's and international oil markets," Economic Modelling, Elsevier, vol. 35(C), pages 364-373.
  89. Ferreira, Paulo, 2016. "Does the Euro crisis change the cross-correlation pattern between bank shares and national indexes?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 320-329.
  90. Tilfani, Oussama & Kristoufek, Ladislav & Ferreira, Paulo & El Boukfaoui, My Youssef, 2022. "Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
  91. 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.
  92. Ferreira, Paulo & Loures, Luís & Nunes, José Rato & Dionísio, Andreia, 2017. "The behaviour of share returns of football clubs: An econophysics approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 136-144.
  93. Kristoufek, Ladislav, 2015. "Finite sample properties of power-law cross-correlations estimators," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 513-525.
  94. Lin, Aijing & Shang, Pengjian & Zhong, Bo, 2014. "Hidden cross-correlation patterns in stock markets based on permutation cross-sample entropy and PCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 259-272.
  95. Kristoufek, Ladislav, 2018. "Fractality in market risk structure: Dow Jones Industrial components case," Chaos, Solitons & Fractals, Elsevier, vol. 110(C), pages 69-75.
  96. de Area Leão Pereira, Eder Johnson & da Silva, Marcus Fernandes & Pereira, H.B.B., 2017. "Econophysics: Past and present," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 251-261.
  97. 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.
  98. Fan, Qingju & Li, Dan, 2015. "Multifractal cross-correlation analysis in electricity spot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 17-27.
  99. Liu, Li, 2014. "Cross-correlations between crude oil and agricultural commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 293-302.
  100. 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).
  101. Mitra, Subrata Kumar & Bhatia, Vaneet & Jana, R.K. & Charan, Parikshit & Chattopadhyay, Manojit, 2018. "Changing value detrended cross correlation coefficient over time: Between crude oil and crop prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 671-678.
  102. Zainudin, Ahmad Danial & Mohamad, Azhar, 2021. "Financial contagion in the futures markets amidst global geo-economic events," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 288-308.
  103. Rodrigues Santos, F. & Brito, A.A. & de Castro, A.P.N. & Almeida, M.P. & da Cunha Lima, A.T. & Zebende, G.F. & da Cunha Lima, I.C., 2018. "Detection of the persistency of the blockages symmetry influence on the multi-scale cross-correlations of the velocity fields in internal turbulent flows in pipelines," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 294-301.
  104. Zeyi Fu & Hongli Niu & Weiqing Wang, 2023. "Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1287-1311, October.
  105. Derick Quintino & Cristiane Ogino & Inzamam Ul Haq & Paulo Ferreira & Márcia Oliveira, 2023. "An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis," Energies, MDPI, vol. 16(5), pages 1-14, February.
  106. Zhai, Lu-Sheng & Liu, Ruo-Yu, 2019. "Local detrended cross-correlation analysis for non-stationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 222-233.
  107. Ladislav Kristoufek, 2018. "Power-law cross-correlations: Issues, solutions and future challenges," Papers 1806.01616, arXiv.org.
  108. Okano, Masahiro & Kurebayashi, Wataru & Shinya, Masahiro & Kudo, Kazutoshi, 2019. "Hybrid dynamics in a paired rhythmic synchronization–continuation task," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 625-638.
  109. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Casado Belmonte, M.P. & Trinidad Segovia, J.E., 2020. "A note on power-law cross-correlated processes," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
  110. Paiva, Aureliano Sancho Souza & Rivera-Castro, Miguel Angel & Andrade, Roberto Fernandes Silva, 2018. "DCCA analysis of renewable and conventional energy prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1408-1414.
  111. Jiang, Jiaqi & Gu, Rongbao, 2016. "Asymmetrical long-run dependence between oil price and US dollar exchange rate—Based on structural oil shocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 75-89.
  112. Prass, Taiane Schaedler & Pumi, Guilherme, 2021. "On the behavior of the DFA and DCCA in trend-stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 182(C).
  113. Liu, Li & Wang, Yudong, 2014. "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 20-30.
  114. Dutta, Srimonti & Ghosh, Dipak & Samanta, Shukla, 2014. "Multifractal detrended cross-correlation analysis of gold price and SENSEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 195-204.
  115. Ma, Pengcheng & Li, Daye & Li, Shuo, 2016. "Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 163-176.
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  141. Paulo Ferreira & Éder Pereira, 2019. "Contagion Effect in Cryptocurrency Market," JRFM, MDPI, vol. 12(3), pages 1-8, July.
  142. 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).
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  146. Elmer Calizaya & Wilber Laqui & Saul Sardón & Fredy Calizaya & Osmar Cuentas & José Cahuana & Carmen Mindani & Walquer Huacani, 2023. "Snow Cover Temporal Dynamic Using MODIS Product, and Its Relationship with Precipitation and Temperature in the Tropical Andean Glaciers in the Alto Santa Sub-Basin (Peru)," Sustainability, MDPI, vol. 15(9), pages 1-20, May.
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  148. Zhang, Zehui & Wang, Fang & Shen, Luming & Xie, Qiang, 2022. "Multiscale time-lagged correlation networks for detecting air pollution interaction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 602(C).
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  151. Mohamed Arbi Madani & Zied Ftiti, 2022. "Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach," Annals of Operations Research, Springer, vol. 313(1), pages 367-400, June.
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  156. Liao, Shengli & Liu, Zhanwei & Liu, Benxi & Cheng, Chuntian & Wu, Xinyu & Zhao, Zhipeng, 2021. "Daily peak shaving operation of cascade hydropower stations with sensitive hydraulic connections considering water delay time," Renewable Energy, Elsevier, vol. 169(C), pages 970-981.
  157. Roume, C. & Almurad, Z.M.H. & Scotti, M. & Ezzina, S. & Blain, H. & Delignières, D., 2018. "Windowed detrended cross-correlation analysis of synchronization processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1131-1150.
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  159. Ferreira, Paulo & Kristoufek, Ladislav & Pereira, Eder Johnson de Area Leão, 2020. "DCCA and DMCA correlations of cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
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  161. Filho, F.M. Oliveira & Ribeiro, F.F. & Cruz, J.A. Leyva & de Castro, A.P. Nunes & Zebende, G.F., 2023. "Statistical study of the EEG in motor tasks (real and imaginary)," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
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  164. Lima, Cristiane Rocha Albuquerque & de Melo, Gabriel Rivas & Stosic, Borko & Stosic, Tatijana, 2019. "Cross-correlations between Brazilian biofuel and food market: Ethanol versus sugar," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 687-693.
  165. Zhou, Hanchu & Chang, Fangrong, 2022. "The long-memory temporal dependence of traffic crash fatality for different types of road users," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
  166. Ferreira, Paulo & Loures, Luís & Nunes, José & Brito, Paulo, 2018. "Are renewable energy stocks a possibility to diversify portfolios considering an environmentally friendly approach? The view of DCCA correlation coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 675-681.
  167. Thiago Pires Santana & Nicole Horta & Catarina Revez & Rui Manuel Teixeira Santos Dias & Gilney Figueira Zebende, 2023. "Effects of Interdependence and Contagion on Crude Oil and Precious Metals According to ρ DCCA : A COVID-19 Case Study," Sustainability, MDPI, vol. 15(5), pages 1-12, February.
  168. Liu, Jin-Long & Yu, Zu-Guo & Zhou, Yu, 2024. "A cross horizontal visibility graph algorithm to explore associations between two time series," Chaos, Solitons & Fractals, Elsevier, vol. 181(C).
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  170. Ferreira, Paulo, 2019. "Assessing the relationship between dependence and volume in stock markets: A dynamic analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 90-97.
  171. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.
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  178. Liu, Xiaoming & Lin, Aijing & Li, Shuqi, 2021. "Classification of international stock markets through MDS based on Hurst-surface distance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
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  185. Shen, Chenhua, 2017. "A comparison of principal components using TPCA and nonstationary principal component analysis on daily air-pollutant concentration series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 453-464.
  186. Thiago B. Murari & Aloisio S. Nascimento Filho & Eder J.A.L. Pereira & Paulo Ferreira & Sergio Pitombo & Hernane B.B. Pereira & Alex A.B. Santos & Marcelo A. Moret, 2019. "Comparative Analysis between Hydrous Ethanol and Gasoline C Pricing in Brazilian Retail Market," Sustainability, MDPI, vol. 11(17), pages 1-12, August.
  187. Yuan, Naiming & Fu, Zuntao, 2014. "Different spatial cross-correlation patterns of temperature records over China: A DCCA study on different time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 71-79.
  188. Cao, Guangxi & Zhang, Minjia & Li, Qingchen, 2017. "Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 67-76.
  189. 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.
  190. Paulo Ferreira & Luís Carlos Loures, 2020. "An Econophysics Study of the S&P Global Clean Energy Index," Sustainability, MDPI, vol. 12(2), pages 1-9, January.
  191. Ferreira, Paulo & Pereira, Éder Johson de Area Leão & Silva, Marcus Fernandes da & Pereira, Hernane Borges, 2019. "Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 86-96.
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  197. Shen, Chenhua, 2019. "The influence of a scaling exponent on ρDCCA: A spatial cross-correlation pattern of precipitation records over eastern China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 579-590.
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