Nonlinear Analysis on Cross-Correlation of Financial Time Series by Continuum Percolation System
DOI10.1142/S0218127416300044zbMath1334.91059OpenAlexW2293946879MaRDI QIDQ2800706
Publication date: 18 April 2016
Published in: International Journal of Bifurcation and Chaos (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0218127416300044
nonlinear analysiscross-correlationmultifractalfinancial price modelMF-DCCAcontinuum percolation system
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Financial applications of other theories (91G80) Time series analysis of dynamical systems (37M10)
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