| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480600 | Physica A: Statistical Mechanics and its Applications | 2013 | 11 Pages |
Abstract
⺠Cross-correlations significantly exist in CNY-USD, CNY-EUR, CNY-JPY, and CNY-KRW. ⺠The cross-correlations of CNY-USD, CNY-EUR, CNY-JPY, and CNY-KRW are weakly persistent. ⺠CNY and USD are positively cross-correlated over time. ⺠The cross-correlation scaling exponents of CNY-EUR have the cyclical fluctuation. ⺠CNY-JPY has negative cross-correlations during the European debt crisis, while CNY-KRW has positive.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Gang-Jin Wang, Chi Xie,