Coupling detrended fluctuation analysis of Asian stock markets

详细信息    查看全文

• 作者：Qizhen Wang ; ^{1245579629@qq.com} ; Yingming Zhu ; Liansheng Yang ^{ylsand39@163.com} ; Remco A.H. Mul
• 关键词：CDFA ; Asian stock market ; Vector autoregression analysis ; Stock indices
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：471
• 期：Complete
• 页码：337-350
• 全文大小：545 K
• 卷排序：471

文摘

Coupled correlations have multifractal characteristics. The contributions of each country to coupled correlations are different. VAR can’t capture the interdependencies of non-stationary series well.