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- W2049400504 abstract "In this paper, we firstly investigate the cross-correlations between the crude oil market and the six GCC stock markets. Based on the analysis of the significant statistic Qcc(m) and the cross-correlation coefficient, we find that the cross-correlations between the crude oil market and the six GCC stock markets are all significant. Employing the method of the MF-DFA and MF-DXA, we further find that the auto-correlations of the crude oil market and the six GCC stock markets and cross-correlations between them are all the multifractality. Moreover, using the multifractal spectrum, we can also verify the multifractal characteristics between the crude oil market and the six GCC stock markets. Furthermore, we use the penalized contrast function to detect the structural break points of the WTI-Oil return series and its conditional volatility, and then discuss the cross-correlations between the crude oil and the six GCC stock markets in the different phases according to these break points. At last, we employ the technique of the rolling window to investigate the dynamic of the scaling exponent Hxy(q). In addition, we explore the relationship between the cross-correlation exponents Hxy(q) and the average scaling exponents [Hxx(q)+Hyy(q)]/2]." @default.
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- W2049400504 date "2014-09-01" @default.
- W2049400504 modified "2023-10-16" @default.
- W2049400504 title "Multifractal detrended cross-correlation analysis of the oil-dependent economies: Evidence from the West Texas intermediate crude oil and the GCC stock markets" @default.
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- W2049400504 doi "https://doi.org/10.1016/j.physa.2014.05.023" @default.
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