Cao, Guangxi; Han, Yan; Cui, Weijun; Guo, Yu - In: Physica A: Statistical Mechanics and its Applications 414 (2014) C, pp. 308-320
The cross-correlation between the China Securities Index 300 (CSI 300) index futures and the spot markets based on high-frequency data is discussed in this paper. We empirically analyze the cross-correlation by using the multifractal detrended cross-correlation analysis (MF-DCCA), and...
