Abstract and Applied Analysis

Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model

Wei Deng and Jun Wang

Full-text: Open access

Abstract

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.

Article information

Source
Abstr. Appl. Anal., Volume 2014, Special Issue (2014), Article ID 965081, 13 pages.

Dates
First available in Project Euclid: 6 October 2014

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1412605847

Digital Object Identifier
doi:10.1155/2014/965081

Zentralblatt MATH identifier
07023414

Citation

Deng, Wei; Wang, Jun. Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model. Abstr. Appl. Anal. 2014, Special Issue (2014), Article ID 965081, 13 pages. doi:10.1155/2014/965081. https://projecteuclid.org/euclid.aaa/1412605847


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