Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …

Given the importance of the financial markets in the global context, data analysis and new
statistical approach are always welcome, especially if we are referring to G-20 group (the …

This article investigates the fractal contagion effect of the COVID-19 pandemic on the stock
markets. The stock market information of the top 32 coronavirus affected economies (as of …

We construct a Pearson correlation-based network and a partial correlation-based network,
ie, two minimum spanning trees (MST-Pearson and MST-Partial), to analyze the correlation …

With the spread of Covid-19, investors' expectations changed during 2020, as well as
financial markets' policy responses and the structure of global financial intermediation itself …

This paper examines the relationship between oil prices and the US dollar exchange rate
using detrended cross-correlation analysis. For a wide set of currencies in the periods …

When common factors strongly influence two power-law cross-correlated time series
recorded in complex natural or social systems, using detrended cross-correlation analysis …

In this short report, we investigate the ability of the DCCA coefficient to measure correlation
level between non-stationary series. Based on a wide Monte Carlo simulation study, we …

This study investigates the scale-dependent structure of asymmetric volatility effect in six
representative cryptocurrencies: Bitcoin, Ethereum, Ripple, Litecoin, Monero, and Dash. By …

We propose an algorithm, multifractal cross-correlation analysis (MFCCA), which constitutes
a consistent extension of the detrended cross-correlation analysis and is able to properly …