Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets

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• 作者：Guangxi Cao^a ; ^b ; ^{caoguangxi@nuist.edu.cn} ; Minjia Zhang^a ; Qingchen Li^c
• 关键词：Volatility-constrained ; Multifractal ; Cross-correlation ; Stock markets
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：15 April 2017
• 年：2017
• 卷：472
• 期：Complete
• 页码：67-76
• 全文大小：548 K
• 卷排序：472

文摘

A volatility-constrained MFDCCA method is proposed. The directionality of influence between stock markets is discussed. A simulation experiment conducted for optimized selection of method is made.