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- W2808989410 abstract "This article investigates the cross-correlations between WTI crude oil prices and fear gauges using cross-correlation statistic test and multifractal detrended cross-correlation analysis. The results show that the cross-correlations between crude oil prices and three different kinds of fear gauges are multifractal. By finding the ‘crossover’, we separate the three pairs of time series into the short term and long term, and find that cross-correlations of small fluctuations are persistent in the short and long terms, cross-correlations of large fluctuations are strongly anti-persistent in the short and long terms. The relationship is useful to profit in future markets." @default.
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- W2808989410 date "2018-06-18" @default.
- W2808989410 modified "2023-09-26" @default.
- W2808989410 title "Multifractal detrended cross-correlations between WTI crude oil price fluctuations and investor fear gauges" @default.
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- W2808989410 doi "https://doi.org/10.1080/13504851.2018.1488044" @default.
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