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Long memory in international financial markets trends and short movements during 2008 financial crisis based on variational mode decomposition and detrended fluctuation analysis

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Cited by:

  1. Lahmiri, Salim & Bekiros, Stelios, 2017. "Disturbances and complexity in volatility time series," Chaos, Solitons & Fractals, Elsevier, vol. 105(C), pages 38-42.
  2. Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018. "Networks of volatility spillovers among stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1555-1574.
  3. Payal Jain & Sanjay Sehgal, 2019. "An examination of return and volatility spillovers between mature equity markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 180-210, January.
  4. Shahzad, Syed Jawad Hussain & Kumar, Ronald Ravinesh & Ali, Sajid & Ameer, Saba, 2016. "Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 8-33.
  5. Filho, A.S. Nascimento & Araújo, M.L.V. & Miranda, J.G.V. & Murari, T.B. & Saba, H. & Moret, M.A., 2018. "Self-affinity and self-organized criticality applied to the relationship between the economic arrangements and the dengue fever spread in Bahia," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 619-628.
  6. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
  7. Lahmiri, Salim, 2017. "Multifractal analysis of Moroccan family business stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 183-191.
  8. Zhang, Weiping & Zhuang, Xintian, 2019. "The stability of Chinese stock network and its mechanism," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 748-761.
  9. He, Kaijian & Tso, Geoffrey K.F. & Zou, Yingchao & Liu, Jia, 2018. "Crude oil risk forecasting: New evidence from multiscale analysis approach," Energy Economics, Elsevier, vol. 76(C), pages 574-583.
  10. Aggarwal, Divya & Chandrasekaran, Shabana & Annamalai, Balamurugan, 2020. "A complete empirical ensemble mode decomposition and support vector machine-based approach to predict Bitcoin prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
  11. Ji, Hao & Wang, Hao & Zhong, Rui & Li, Min, 2020. "China's liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach," Economic Modelling, Elsevier, vol. 93(C), pages 187-204.
  12. He, Kaijian & Chen, Yanhui & Tso, Geoffrey K.F., 2018. "Forecasting exchange rate using Variational Mode Decomposition and entropy theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 15-25.
  13. Achraf Ghorbel & Wajdi Frikha & Yasmine Snene Manzli, 2022. "Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 387-425, September.
  14. Li, Xiafei & Wei, Yu, 2018. "The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method," Energy Economics, Elsevier, vol. 74(C), pages 565-581.
  15. Lahmiri, Salim, 2016. "Image characterization by fractal descriptors in variational mode decomposition domain: Application to brain magnetic resonance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 235-243.
  16. Ervin Shan Khai Tiu & Yuk Feng Huang & Jing Lin Ng & Nouar AlDahoul & Ali Najah Ahmed & Ahmed Elshafie, 2022. "An evaluation of various data pre-processing techniques with machine learning models for water level prediction," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 110(1), pages 121-153, January.
  17. Guoqiang Sun & Tong Chen & Zhinong Wei & Yonghui Sun & Haixiang Zang & Sheng Chen, 2016. "A Carbon Price Forecasting Model Based on Variational Mode Decomposition and Spiking Neural Networks," Energies, MDPI, vol. 9(1), pages 1-16, January.
  18. Alves, P.R.L. & Duarte, L.G.S. & da Mota, L.A.C.P., 2018. "Detecting chaos and predicting in Dow Jones Index," Chaos, Solitons & Fractals, Elsevier, vol. 110(C), pages 232-238.
  19. Lahmiri, Salim, 2017. "A study on chaos in crude oil markets before and after 2008 international financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 389-395.
  20. Fu, Hui & Chen, Wenting & He, Xin-Jiang, 2018. "On a class of estimation and test for long memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 906-920.
  21. Lahmiri, Salim & Bekiros, Stelios, 2018. "Time-varying self-similarity in alternative investments," Chaos, Solitons & Fractals, Elsevier, vol. 111(C), pages 1-5.
  22. Tsionas, Mike G. & Michaelides, Panayotis G., 2017. "Neglected chaos in international stock markets: Bayesian analysis of the joint return–volatility dynamical system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 95-107.
  23. 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.
  24. Zhang, Bo & Wang, Guochao & Wang, Yiduan & Zhang, Wei & Wang, Jun, 2019. "Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1012-1025.
  25. Tsionas, Mike G. & Michaelides, Panayotis G., 2017. "Bayesian analysis of chaos: The joint return-volatility dynamical system," MPRA Paper 80632, University Library of Munich, Germany.
  26. Zhang, Tianding & Zeng, Song, 2023. "Dynamic comovement and extreme risk spillovers between international crude oil and China's non-ferrous metal futures market," Resources Policy, Elsevier, vol. 80(C).
  27. Lahmiri, Salim & Bekiros, Stelios, 2020. "The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
  28. Jiang, Yonghong & Nie, He & Monginsidi, Joe Yohanes, 2017. "Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests," Economic Modelling, Elsevier, vol. 64(C), pages 384-398.
  29. Xinxin He & Jungang Luo & Ganggang Zuo & Jiancang Xie, 2019. "Daily Runoff Forecasting Using a Hybrid Model Based on Variational Mode Decomposition and Deep Neural Networks," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 33(4), pages 1571-1590, March.
  30. Lahmiri, Salim & Bekiros, Stelios, 2018. "Chaos, randomness and multi-fractality in Bitcoin market," Chaos, Solitons & Fractals, Elsevier, vol. 106(C), pages 28-34.
  31. Lahmiri, Salim, 2016. "Clustering of Casablanca stock market based on hurst exponent estimates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 310-318.
  32. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
  33. Lahmiri, Salim, 2017. "Investigating existence of chaos in short and long term dynamics of Moroccan exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 655-661.
  34. Jing Zhu & Aidong Deng & Jing Li & Minqiang Deng & Wenqing Sun & Qiang Cheng & Yang Liu, 2020. "Resonance-based sparse adaptive variational mode decomposition and its application to the feature extraction of planetary gearboxes," PLOS ONE, Public Library of Science, vol. 15(4), pages 1-20, April.
  35. Sanjay Sehgal & Payal Jain, 2017. "Information linkages among emerging equity markets—an empirical study," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 44(1), pages 15-38, March.
  36. Lahmiri, Salim, 2017. "Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 405-414.
  37. Tao Yin & Yiming Wang, 2019. "Predicting the Price of WTI Crude Oil Using ANN and Chaos," Sustainability, MDPI, vol. 11(21), pages 1-14, October.
  38. Xinxin He & Jungang Luo & Peng Li & Ganggang Zuo & Jiancang Xie, 2020. "A Hybrid Model Based on Variational Mode Decomposition and Gradient Boosting Regression Tree for Monthly Runoff Forecasting," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 34(2), pages 865-884, January.
  39. Asit Kumar Das & Debahuti Mishra & Kaberi Das & Arup Kumar Mohanty & Mazin Abed Mohammed & Alaa S. Al-Waisy & Seifedine Kadry & Jungeun Kim, 2022. "A Deep Network-Based Trade and Trend Analysis System to Observe Entry and Exit Points in the Forex Market," Mathematics, MDPI, vol. 10(19), pages 1-23, October.
  40. Jin, Xiu & Liu, Yueli & Yu, Jinming & Huang, Weiqiang, 2023. "COVID-19 and extreme risk spillovers between oil and BRICS stock markets: A multiscale perspective," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
  41. Lahmiri, Salim, 2017. "Cointegration and causal linkages in fertilizer markets across different regimes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 181-189.
  42. Lahmiri, Salim & Uddin, Gazi Salah & Bekiros, Stelios, 2017. "Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 947-955.
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