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Blue-chips 1 DCCA cross-correlation coefficient 1 Time series 1
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Area, Éder Johnson de 1 Castro, Nunes de 1 Miranda, José Garcia Vivas 1 Pereira, Arleys 1 Pereira, Leão 1 Silva Filho, Aloisio Machado da 1 Silva, Marcus Fernandes da 1 Zebende, Gilney Figueira 1
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Physica A: Statistical Mechanics and its Applications 1
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Quantifying cross-correlation between Ibovespa and Brazilian blue-chips: The DCCA approach
Silva, Marcus Fernandes da; Pereira, Leão; Area, Éder … - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 124-129
The objective of this paper is to demonstrate the influence of the blue-chips companies in the stock market. In this, we apply the detrended cross-correlation coefficient ρDCCA at the São Paulo stock market (Ibovespa, Brazil). Initially we found that there is a positive cross-correlation...
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