Cross-correlations between the CSI300 index and commodity markets: non-stationary principal component analysis (NSPCA)

DOI10.1016/j.physa.2019.121534OpenAlexW2946902470MaRDI QIDQ2162076

Xiaoyu Zhu

Publication date: 5 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.121534

zbMATH Keywords

Pearson correlation coefficientdetrended cross-correlation coefficientcommodity marketsdetrended cross-correlation analysis (DCCA)CSI300 indexnon-stationary principal component analysis (NSPCA)

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Principal component analysis for non-stationary time series based on detrended cross-correlation analysis
• Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient
• Cross-correlations between volume change and price change

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