Detrended cross-correlation analysis on RMB exchange rate and Hang Seng China Enterprises Index

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• 作者：Qingsong Ruan ; Bingchan Yang ; Guofeng Ma ; ^{maguofengtj@163.com}
• 关键词：RMB exchange markets ; Hang Seng China Enterprises Index ; Cross-correlations ; Multifractal detrended cross-correlation analysis ; Multifractal cross-correlation analysis
• 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.