Dollar's Influence on Crude Oil and Gold Based on MF-DPCCA Method

被引：1
作者：
Ding, Zhonghui [1 ]
Shi, Kai [2 ]
Wang, Bin [1 ]
机构：
[1] Guilin Univ Technol, Coll Sci, Guilin 541004, Peoples R China
[2] Guilin Univ Technol, Coll Informat Sci & Engn, Guilin 541004, Peoples R China
来源：
DISCRETE DYNAMICS IN NATURE AND SOCIETY | 2021年 / 2021卷
关键词：
CROSS-CORRELATION ANALYSIS; US DOLLAR; MARKET; TIME; MULTIFRACTALITY;
D O I：
10.1155/2021/5558967
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This paper analyzed the influence of dollar on crude oil and gold based on the multifractal detrended partial cross-correlation analysis method. It showed that affected by the dollar, the crude oil and gold markets have a partial cross-correlation relationship which is stronger than their own cross-correlation. The partial cross-correlation is long-term and has multifractal characteristics. Through shuffled and Fourier-phase randomization, it is found that this multifractal feature is caused by the combined effect of the long-term cross-correlation between the returns and the fluctuation fat-tailed distribution, where the influence of the fat-tailed distribution is slightly greater than that of the long-term cross-correlation between the returns.
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页数：10
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