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DCCA and DMCA correlations of cryptocurrency markets
We examine the serial correlation structure of six liquid cryptocurrencies with a long data record – Bitcoin, DASH, Stellar, Litecoin, Monero, and Ripple – with a use of the detrended cross-correlation (DCCA) and <...
Applied Economics, Econometrics
- 2020 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
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Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis (DMCA),...
AH - Ekonomie
- 2014 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union
We study the uncovered interest rate parity in the European Union utilising the newly proposed regression frameworks based on the detrended cross-correlation analysis and the detrending moving-
Applied Economics, Econometrics
- 2020 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
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What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions
We analyse the covered interest parity (CIP) using two novel regression frameworks based on cross-correlation analysis (detrended cross-correlation analysis and detrending mo...
Applied Economics, Econometrics
- 2017 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Fractality in market risk structure: Dow Jones Industrial components case
based on the detrended cross-correlation analysis and the detrending moving-average cross-correlation analysis. We report three standard groups of stocks - agg...
Applied Economics, Econometrics
- 2018 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
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Finite sample properties of power-law cross-correlations estimators
We study finite sample properties of estimators of power-law cross-correlations ? detrended cross- correlation analysis (DCCA), height cross-correlation analysis (HXA) a...
AH - Ekonomie
- 2015 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components
stocks using the detrended cross-correlation and detrending moving-average cross togetherwith the detrended fluctuation analysis, we show that the searches are in factW...
AH - Ekonomie
- 2015 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Power-law cross-correlations estimation under heavy tails
We examine the performance of six estimators of the power-law cross-correlations -- the detrended cross-correlation analysis, the detrending moving-average cross
AH - Ekonomie
- 2016 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Fractal approach towards power-law coherency to measure cross-correlations between time series
parameter Hp based on popular techniques usually utilized for studying power-law cross-correlations detrended cross-correlation analysis (DCCA), detrending moving-average
Applied Economics, Econometrics
- 2017 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Leverage effect in energy futures
and non-stationarity. To overcome such complication, we utilize the detrended cross-correlation and the detrending moving-average cross-correlation coefficients and we find retu...
AH - Ekonomie
- 2014 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
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