Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model
Joint Authors
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-28
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
Nonlinear behaviors of tail dependence and cross-correlation of financial time series are reproduced and investigated by stochastic voter dynamic system.
The voter process is a continuous-time Markov process and is one of the interacting dynamic systems.
The tail dependence of return time series for pairs of Chinese stock markets and the proposed financial models is studied by copula analysis, in an attempt to detect and illustrate the existence of relevant correlation relationships.
Further, the multifractality of cross-correlations for return series is studied by multifractal detrended cross-correlation analysis, which indicates the analogous cross-correlations and some fractal characters for both actual data and simulative data and provides an intuitive evidence for market inefficiency.
American Psychological Association (APA)
Deng, Wei& Wang, Jun. 2014. Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-1015165
Modern Language Association (MLA)
Deng, Wei& Wang, Jun. Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model. Abstract and Applied Analysis No. 2014 (2014), pp.1-13.
https://search.emarefa.net/detail/BIM-1015165
American Medical Association (AMA)
Deng, Wei& Wang, Jun. Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-1015165
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1015165