| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481345 | Physica A: Statistical Mechanics and its Applications | 2012 | 12 Pages |
Abstract
⺠We test cross-correlations between the RMB exchange market and stock market in China. ⺠Multifractal cross-correlations in Chinese financial markets vary with time. ⺠Multifractal cross-correlations are sensitive to the RMB exchange rate regime reform. ⺠Small fluctuations show more persistent cross-correlations than large fluctuations. ⺠Theoretical results of reference [39] are discussed by our results.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Guangxi Cao, Longbing Xu, Jie Cao,