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Quantifying And Modeling Long-Range Cross Correlations In Multiple Time Series With Applications To World Stock Indices

PHYSICAL REVIEW E, no. 4 (2011): 046121-046121

引用115|浏览27
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We propose a modified time lag random matrix theory in order to study time-lag cross correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countries. We find long-range power-law cross correlations in the absolute values of returns that quantify risk, and find that they decay much more...更多

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