A detrended cross correlation analysis for stock markets of the United States, Japan, and the Europe

被引：4

作者：

Ikeda, Taro ^{[1
]}

机构：

[1] Kobe Univ, Grad Sch Econ, Nada Ku, 2-1 Rokko Dai, Kobe, Hyogo, Japan

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2017年 / 484卷

关键词：

Long range dependence; Stock price returns; Power-law distributions; VOLATILITY; RETURNS;

D O I：

10.1016/j.physa.2017.05.004

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

This paper investigates the long range cross covariances among the stock price returns for the United States, Japan, and the Europe. Empirical results suggest that the stock price returns of these regions have cross covariances of slow moving fluctuations. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：194 / 198

页数：5

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