A detrended cross correlation analysis for stock markets of the United States, Japan, and the Europe
Physica A: Statistical Mechanics and its Applications, 2017, vol. 484, issue C, 194-198
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.
Keywords: Long range dependence; Stock price returns; Power-law distributions (search for similar items in EconPapers)
JEL-codes: C18 E39 G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:484:y:2017:i:c:p:194-198
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