Asymmetric MF-DCCA method based on risk conduction and its application in the Chinese and foreign stock markets

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• 作者：Guangxi Cao^a ; ^b ; ^{caoguangxi@nuist.edu.cn} ; Yan Han^b ; Qingchen Li^c ; Wei Xu^b
• 关键词：Stock markets ; Cross-correlation ; Risk conduction ; Asymmetric ; DCCA
• 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：119-130
• 全文大小：578 K
• 卷排序：468

文摘

Asymmetric MF-DCCA method based on different directions of transmission is proposed. The simulation results of DMF-ADCCA method are discussed. Asymmetric DMF-DCCA method is applied to the analysis of the stock markets. Nonlinear Granger causality test is employed to Chinese and foreign stock markets.