Statistical Properties of the Foreign Exchange Network at Different Time Scales: Evidence from Detrended Cross-Correlation Coefficient and Minimum Spanning Tree
نویسندگان
چکیده
منابع مشابه
Statistical Properties of the Foreign Exchange Network atDifferent Time Scales: Evidence from DetrendedCross-Correlation Coefficient and Minimum Spanning Tree
We investigate the statistical properties of the foreign exchange (FX) network at different time scales by two approaches, namely the methods of detrended cross-correlation coefficient (DCCA coefficient) and minimum spanning tree (MST). The daily FX rates of 44 major currencies in the period of 2007–2012 are chosen as the empirical data. Based on the analysis of statistical properties of cross-...
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ژورنال
عنوان ژورنال: Entropy
سال: 2013
ISSN: 1099-4300
DOI: 10.3390/e15051643