Wang, Yudong; Wei, Yu; Wu, Chongfeng - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 5, pp. 864-875
In this paper, we study the auto-correlations and cross-correlations of West Texas Intermediate (WTI) crude oil spot and futures return series employing detrended fluctuation analysis (DFA) and detrended cross-correlation analysis (DCCA). Scaling analysis shows that, for time scales smaller than...