刊名:Physica A: Statistical Mechanics and its Applications
出版年:2017
出版时间:15 February 2017
年:2017
卷:468
期:Complete
页码:91-108
全文大小:4100 K
卷排序:468
文摘
Cross-correlation statistic test, MF-DCCA and MFCCA are used in this paper. The cross-correlations between HSCEI and RMB exchange markets are examined. The cross-correlations were found overall significant. The cross-correlations between HSCEI and CNY/CNH were strongly multifractal. The short-term cross-correlations between volatility series are still high now.