Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model
Nonlinear behaviors of tail dependence and cross-correlation of financial time series are reproduced and investigated by stochastic voter dynamic system. The voter process is a continuous-time Markov process and is one of the interacting dynamic systems. The tail dependence of return time series for...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
|
| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/965081 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832548404272562176 |
|---|---|
| author | Wei Deng Jun Wang |
| author_facet | Wei Deng Jun Wang |
| author_sort | Wei Deng |
| collection | DOAJ |
| description | Nonlinear behaviors of tail dependence and cross-correlation of financial time series are reproduced and investigated by stochastic voter dynamic system. The voter process is a continuous-time Markov process and is one of the interacting dynamic systems. The tail dependence of return time series for pairs of Chinese stock markets and the proposed financial models is studied by copula analysis, in an attempt to detect and illustrate the existence of relevant correlation relationships. Further, the multifractality of cross-correlations for return series is studied by multifractal detrended cross-correlation analysis, which indicates the analogous cross-correlations and some fractal characters for both actual data and simulative data and provides an intuitive evidence for market inefficiency. |
| format | Article |
| id | doaj-art-7d2c3be9be6f407481483a75d809388f |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-7d2c3be9be6f407481483a75d809388f2025-02-03T06:14:07ZengWileyAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/965081965081Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series ModelWei Deng0Jun Wang1Institute of Financial Mathematics and Financial Engineering, School of Science, Beijing Jiaotong University, Beijing 100044, ChinaInstitute of Financial Mathematics and Financial Engineering, School of Science, Beijing Jiaotong University, Beijing 100044, ChinaNonlinear behaviors of tail dependence and cross-correlation of financial time series are reproduced and investigated by stochastic voter dynamic system. The voter process is a continuous-time Markov process and is one of the interacting dynamic systems. The tail dependence of return time series for pairs of Chinese stock markets and the proposed financial models is studied by copula analysis, in an attempt to detect and illustrate the existence of relevant correlation relationships. Further, the multifractality of cross-correlations for return series is studied by multifractal detrended cross-correlation analysis, which indicates the analogous cross-correlations and some fractal characters for both actual data and simulative data and provides an intuitive evidence for market inefficiency.http://dx.doi.org/10.1155/2014/965081 |
| spellingShingle | Wei Deng Jun Wang Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model Abstract and Applied Analysis |
| title | Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model |
| title_full | Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model |
| title_fullStr | Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model |
| title_full_unstemmed | Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model |
| title_short | Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model |
| title_sort | nonlinear behaviors of tail dependence and cross correlation of financial time series model |
| url | http://dx.doi.org/10.1155/2014/965081 |
| work_keys_str_mv | AT weideng nonlinearbehaviorsoftaildependenceandcrosscorrelationoffinancialtimeseriesmodel AT junwang nonlinearbehaviorsoftaildependenceandcrosscorrelationoffinancialtimeseriesmodel |