位置：成果数据库 > 期刊 > 期刊详情页
Multifractal detrended cross-correlation analysis of carbon and crude oil markets
  • ISSN号：0378-4371
  • 期刊名称：Physica A: Statistical Mechanics and Its Applicati
  • 时间：2014.4.4
  • 页码：113-125
  • 相关项目：分形市场分析、极值理论与金融传染的定量测度方法研究
作者： Xiaoyang Zhuang|Yu Wei|Bangzheng Zhang|
同期刊论文项目
分形市场分析、极值理论与金融传染的定量测度方法研究
期刊论文 42 会议论文 4
同项目期刊论文
非对称结构下金融市场动态风险测度研究
Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluct
Can GARCH-class models capture long memory in WTI crude oil markets?
A copula-multifractal volatility hedging model for CSI 300 index futures
Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil
Cross-correlations between Chinese A-share and B-share markets
Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective
基于多分形理论的动态VaR预测模型研究
中国金属期货市场的风险度量及其Backtesting 分析
中国燃油期货市场的VaR与ES风险度量
我国新能源公司股票价格与原油价格的波动率外溢与相关性研究
Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding s
Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extre
沪深300股指期货日内避险模型及效率研究
我国钢材期货市场波动率的GARCH族模型研究
次贷危机对亚洲股市尾部极值风险传导的影响研究
我国农产品期货市场的风险测度模型及其后验分析
How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China
典型事实约束下的上海燃油期货市场动态VaR测度研究
中国大陆及周边股市动态ES风险传导关系效应研究
?Cross-correlations between crude oil and agricultural commodity markets
Financial market volatility and contagion effect: A copula--multifractal volatility approach
基于非参数与L-Moment估计的股市动态极值ES风险测度研究
胖尾分布及长记忆下的动态EVT-VaR测度研究
Cross-correlations between spot and futures markets of nonferrous metals
基于MRS-EGARCH模型的沪深300指数波动预测
Measuring contagion between energy market and stock market during financial crisis: A copula approac
Cross-correlations between West Texas Intermediate crude oil and the stock markets of the BRIC
中国股市与周边股市波动风险传导效应研究
欧债危机环境中资产组合ES模型比较研究
股票市场历史信息的长记忆性特征研究
基于双曲线记忆HYGARCH模型的动态风险VaR测度能力研究
多分形波动率预测模型及其MCS检验
不同时变Copula-EVT-ES模型精度比较研究
证券交易印花税与市场质量——来自中国证券市场的实证分析
基于多分形波动率测度的ES风险度量
基于EVT-Vine-copula的多市场相关性及投资组合选择研究
典型事实、极值理论与金融市场动态风险测度研究
基于R_Vine Copula方法的上证行业指数相关性研究