Advanced search
Publication Cover
Applied Economics Letters Volume 26, 2019 - Issue 7
Submit an article Journal homepage
197
Views
4
CrossRef citations to date
0
Altmetric
Articles

Multifractal detrended cross-correlations between WTI crude oil price fluctuations and investor fear gauges

Yuxin CaiSchool of Management, Fudan University, Shanghai, ChinaCorrespondence[email protected]
&
Yongping RenSchool of Management, Shanghai University, Shanghai, China
Pages 587-593 | Published online: 18 Jun 2018

References

  • Auer, B. R. 2016. “On the Performance of Simple Trading Rules Derived from the Fractal Dynamics of Gold and Silver Price Fluctuations.” Finance Research Letters 16: 255–267. doi:10.1016/j.frl.2015.12.009.
  • Bouri, E., D. Roubaud, R. Jammazi, and A. Assaf. 2017. “Uncovering Frequency Domain Causality between Gold and the Stock Markets of China and India: Evidence from Implied Volatility Indices.” Finance Research Letters 23: 23–30. doi:10.1016/j.frl.2017.06.010.
  • Kantelhardt, J. W., S. A. Zschiegner, E. Koscielny-Bunde, S. Havlin, A. Bunde, and E. H. Stanley. 2002. “Multifractal Detrended Fluctuation Analysis of Nonstationary Time Series.” Physica A: Statistical Mechanics and Its Applications 316: 87–114. doi:10.1016/S0378-4371(02)01383-3.
  • Maghyereh, A. I., B. Awartani, and E. Bouri. 2016. “The Directional Volatility Connectedness between Crude Oil and Equity Markets: New Evidence from Implied Volatility Indexes.” Energy Economics 57: 78–93. doi:10.1016/j.eneco2016.04.010.
  • Pal, M., P. M. Rao, and P. Manimarana. 2014. “Multifractal Detrended Cross-Correlation Analysis on Gold, Crude Oil and Foreign Exchange Rate Time Series.” Physica A: Statistical Mechanics and Its Applications 416: 452–460. doi:10.1016/j.physa.2014.09.004.
  • Podobnik, B., and H. E. Stanley. 2008. “Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-Stationary Time Series.” Physical Review Letters 100: 084102. doi:10.1103/physrevlett.100.084102.
  • Sarwar, G. 2017. “Examining the Flight-To-Safety with the Implied Volatilities.” Finance Research Letters 20: 118–124. doi:10.1016/j.frl.2016.09.015.
  • Zhou, W. X. 2008. “Multifractal Detrended Cross-Correlation Analysis for Two Nonstationary Signals.” Pyhsical Review E 77: 066211. doi:10.1103/Physreve.77.066211.
  • Zunino, L., B. M. Tabak, A. Figliola, D. G. Prez, M. Garavaglia, and O. A. Rosso. 2008. “A Multifractal Approach for Stock Market Inefficiency.” Physica A: Statistical Mechanics and Its Applications 387: 6558–6566. doi:10.1016/j.physa.2008.08.028.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.