Cross-correlations between the US monetary policy, US dollar index and crude oil market
Authors:
- Xinxin SunXSXinxin Sun
- Xinsheng LuXLXinsheng Lu
- Gongzheng YueGYGongzheng Yue
- Jianfeng LiJLJianfeng Li
- 1 February 2017
- journal article
- Published by Elsevier in Physica A: Statistical Mechanics and its Applications
- Vol. 467, 326-344
Abstract
No abstract availableFunding Information
- National Natural Science Foundation of China (71173088)
- Shandong social science planning project (12BJJJ08)
This publication has 49 references indexed in Scilit:
- Cross-correlations between West Texas Intermediate crude oil and the stock markets of the BRICPhysica A: Statistical Mechanics and its Applications, 2013
- MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTSFractals, 2012
- The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese dataJournal of Banking & Finance, 2012
- What drives international equity correlations? Volatility or market direction?Journal of International Money and Finance, 2011
- Quantifying cross-correlations using local and global detrending approachesThe European Physical Journal B, 2009
- Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil MarketAmerican Economic Review, 2009
- What Explains the Stock Market's Reaction to Federal Reserve Policy?The Journal of Finance, 2005
- Mosaic organization of DNA nucleotidesPhysical Review E, 1994
- Joint multifractal measures: Theory and applications to turbulencePhysical Review A, 1990
- A Suggested Statistical Model of some Time Series which occur in NatureNature, 1957