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Asymmetric multiscale detrended cross-correlation analysis of financial time series - MaRDI portal

Asymmetric multiscale detrended cross-correlation analysis of financial time series

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Publication:4591588

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DOI10.1063/1.4893442zbMath1376.62071OpenAlexW1987650244WikidataQ51030559 ScholiaQ51030559MaRDI QIDQ4591588

Pengjian Shang, Yi Yin

Publication date: 17 November 2017

Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1063/1.4893442

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

Cross-correlations between volume change and price change

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