Article ID Journal Published Year Pages File Type
10481599 Physica A: Statistical Mechanics and its Applications 2011 12 Pages PDF
Abstract
► We use MF-DCCA to investigate the cross-correlations between crude oil spot and futures markets. ► The study of the source of multifractality. ► The detection of cross-correlations using a new statistic.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
Preview
Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil
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