Search Results - subject:"Long range correlation"

Persistent link: https://www.econbiz.de/10015194278

Why does the Euro fail? The DCCA approach

Ferreira, Paulo; Dionisio, Andreia; Zebende, Gilney - Centro de Estudos e Formação Avançada em Gestão e … - 2014

The present crisis in the Euro is one of the most serious crises reported in history. The fact that different countries that adopted the Euro have different conditions to support asymmetric shocks in their economies could explain some of the consequences currently affecting the Eurozone. In this...

Persistent link: https://www.econbiz.de/10010892264

Multiscale multifractal diffusion entropy analysis of financial time series

Huang, Jingjing; Shang, Pengjian - In: Physica A: Statistical Mechanics and its Applications 420 (2015) C, pp. 221-228

This paper introduces a multiscale multifractal diffusion entropy analysis (MMDEA) method to analyze long-range … correlation then applies this method to stock index series. The method combines the techniques of diffusion process and Rényi …

Persistent link: https://www.econbiz.de/10011117864

Asymmetric long-term persistence analysis in sea surface temperature anomaly

Zhang, W.F.; Zhao, Q. - In: Physica A: Statistical Mechanics and its Applications 428 (2015) C, pp. 314-318

The first evidence of asymmetric upward and downward persistence in the global sea surface temperature anomaly (SSTA) is revealed from the observations with the asymmetric detrended fluctuation analysis (A-DFA) method. Global distributions of the scaling exponents which quantify the degree of...

Persistent link: https://www.econbiz.de/10011209652

Statistical regularities of Carbon emission trading market: Evidence from European Union allowances

Zheng, Zeyu; Xiao, Rui; Shi, Haibo; Li, Guihong; Zhou, … - In: Physica A: Statistical Mechanics and its Applications 426 (2015) C, pp. 9-15

As an emerging financial market, the trading value of carbon emission trading market has definitely increased. In recent years, the carbon emission allowances have already become a way of investment. They are bought and sold not only by carbon emitters but also by investors. In this paper, we...

Persistent link: https://www.econbiz.de/10011209658

Discrete scale-invariance in cross-correlations between time series

Xiao, Qin; Pan, Xue; Stephen, Mutua; Yang, Yue; Li, Xinli; … - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 161-170

The de-trended cross-correlation analysis (DCCA) is converted to a new form, which turns out to be a periodic function modulated power-law, to evaluate discrete-scale long-range cross-correlation between time series. If the modulator is dominated with one frequency, the derived form will...

Persistent link: https://www.econbiz.de/10011193991

Revisiting covered interest parity in the European Union : the DCCA approach

Ferreira, Paulo; Dionisio, Andreia - In: International economic journal 29 (2015) 4, pp. 597-615

Persistent link: https://www.econbiz.de/10011548766

Stable distribution and long-range correlation of Brent crude oil market

Yuan, Ying; Zhuang, Xin-tian; Jin, Xiu; Huang, Wei-qiang - In: Physica A: Statistical Mechanics and its Applications 413 (2014) C, pp. 173-179

An empirical study of stable distribution and long-range correlation in Brent crude oil market was presented. First, it … that there are long-range correlation in returns. It implies that there are patterns or trends in returns that persist over …

Persistent link: https://www.econbiz.de/10010906987

Multiscaling Analysis of Monthly Runoff Series Using Improved MF-DFA Approach

Yuan, Xiaohui; Ji, Bin; Tian, Hao; Huang, Yuehua - In: Water Resources Management 28 (2014) 12, pp. 3891-3903

function and long-range correlation, and the broadness of the probability density function is dominant. Copyright Springer … runoff records of a hydrological station in the Yangtze River with seasonal trend eliminated, through which the long-range … correlation and the multifractal characteristics have been found. The multifractal spectrum has been fitted by a generalized …

Persistent link: https://www.econbiz.de/10010949771

Empirical study of the scaling behavior of the amplitude–frequency distribution of the Hilbert–Huang transform and its application in sunspot time series analysis

Zhou, Yu; Leung, Yee; Ma, Jian-Min - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 6, pp. 1336-1346

Investigating long-range correlation by the Hurst exponent, H, is crucial in the study of time series. Recently …

Persistent link: https://www.econbiz.de/10011062201