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Multifractal detrended cross-correlation analysis on gold, crude oil and foreign exchange rate time series

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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. 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).
  3. Garcin, Matthieu, 2017. "Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 462-479.
  4. Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
  5. Guo, Yaoqi & Yu, Zhuling & Yu, Chenxi & Cheng, Hui & Chen, Weixun & Zhang, Hongwei, 2021. "Asymmetric multifractal features of the price–volume correlation in China’s gold futures market based on MF-ADCCA," Research in International Business and Finance, Elsevier, vol. 58(C).
  6. 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.
  7. 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.
  8. Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
  9. Raza Syed Ali & Shah Nida & Ali Muhammad & Shahbaz Muhammad, 2021. "Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test," Zagreb International Review of Economics and Business, Sciendo, vol. 24(2), pages 37-57.
  10. Min Bai & Ly Ho, 2023. "How do gold and oil react to the COVID-19 pandemic: A review," Energy & Environment, , vol. 34(7), pages 2876-2902, November.
  11. 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.
  12. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Pawe{l} O'swic{e}cimka & Marek Stanuszek, 2018. "Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017," Papers 1812.08548, arXiv.org, revised Jun 2019.
  13. Zou, Shaohui & Zhang, Tian, 2020. "Multifractal detrended cross-correlation analysis of the relation between price and volume in European carbon futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  14. Manimaran, P. & Narayana, A.C., 2018. "Multifractal detrended cross-correlation analysis on air pollutants of University of Hyderabad Campus, India," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 228-235.
  15. Guo, Yaoqi & Shi, Fengyuan & Yu, Zhuling & Yao, Shanshan & Zhang, Hongwei, 2022. "Asymmetric multifractality in China’s energy market based on improved asymmetric multifractal cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
  16. Prince Osei Mensah & Anokye M. Adam, 2020. "Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana," Risks, MDPI, vol. 8(2), pages 1-20, June.
  17. Pal, Mayukha & Kiran, V. Satya & Rao, P. Madhusudana & Manimaran, P., 2016. "Multifractal detrended cross-correlation analysis of genome sequences using chaos-game representation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 288-293.
  18. Ruan, Qingsong & Wang, Yao & Lu, Xinsheng & Qin, Jing, 2016. "Cross-correlations between Baltic Dry Index and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 278-289.
  19. Hasan, Rashid & Mohammed Salim, M., 2017. "Power law cross-correlations between price change and volume change of Indian stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 620-631.
  20. Lu, Xinsheng & Sun, Xinxin & Ge, Jintian, 2017. "Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 144-161.
  21. Vogl, Markus & Kojić, Milena, 2024. "Green cryptocurrencies versus sustainable investments dynamics: Exploration of multifractal multiscale analysis, multifractal detrended cross-correlations and nonlinear Granger causality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 653(C).
  22. Wang, Qizhen & Zhu, Yingming & Yang, Liansheng & Mul, Remco A.H., 2017. "Coupling detrended fluctuation analysis of Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 337-350.
  23. Dinh, Theu & Goutte, Stéphane & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Economic drivers of volatility and correlation in precious metal markets," Journal of Commodity Markets, Elsevier, vol. 28(C).
  24. Mensi, Walid & Sensoy, Ahmet & Vo, Xuan Vinh & Kang, Sang Hoon, 2020. "Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices," Resources Policy, Elsevier, vol. 69(C).
  25. Zhang, Xin & Zhu, Yingming & Yang, Liansheng, 2018. "Multifractal detrended cross-correlations between Chinese stock market and three stock markets in The Belt and Road Initiative," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 105-115.
  26. Pal, Mayukha & Satish, B. & Srinivas, K. & Rao, P. Madhusudana & Manimaran, P., 2015. "Multifractal detrended cross-correlation analysis of coding and non-coding DNA sequences through chaos-game representation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 596-603.
  27. Yin, Libo & Ma, Xiyuan, 2018. "Causality between oil shocks and exchange rate: A Bayesian, graph-based VAR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 434-453.
  28. Lahmiri, Salim, 2017. "On fractality and chaos in Moroccan family business stock returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 29-39.
  29. 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.
  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. García-Carranco, Sergio M. & Bory-Reyes, Juan & Balankin, Alexander S., 2016. "The crude oil price bubbling and universal scaling dynamics of price volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 60-68.
  32. 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).
  33. 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).
  34. 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).
  35. Yang, Liansheng & Zhu, Yingming & Wang, Yudong & Wang, Yiqi, 2016. "Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 255-265.
  36. 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.
  37. Albulescu, Claudiu Tiberiu & Aubin, Christian & Goyeau, Daniel & Tiwari, Aviral Kumar, 2018. "Extreme co-movements and dependencies among major international exchange rates: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 56-69.
  38. Ruan, Qingsong & Jiang, Wei & Ma, Guofeng, 2016. "Cross-correlations between price and volume in Chinese gold markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 10-22.
  39. Ji, Qiang & Guo, Jian-Feng, 2015. "Market interdependence among commodity prices based on information transmission on the Internet," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 426(C), pages 35-44.
  40. Li, Wei & Lu, Xinsheng & Ren, Yongping & Zhou, Ying, 2018. "Dynamic relationship between RMB exchange rate index and stock market liquidity: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 726-739.
  41. 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.
  42. Sikora, Grzegorz, 2018. "Statistical test for fractional Brownian motion based on detrending moving average algorithm," Chaos, Solitons & Fractals, Elsevier, vol. 116(C), pages 54-62.
  43. Wang, Qing & Hu, Yiming, 2015. "Cross-correlation between interest rates and commodity prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 80-89.
  44. 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.
  45. Sun, Xinxin & Lu, Xinsheng & Yue, Gongzheng & Li, Jianfeng, 2017. "Cross-correlations between the US monetary policy, US dollar index and crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 326-344.
  46. Ji, Qiangbiao & Zhang, Xin & Zhu, Yingming, 2020. "Multifractal analysis of the impact of US–China trade friction on US and China soy futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
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