Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method
This paper analyzed the influence of dollar on crude oil and gold based on the multifractal detrended partial cross-correlation analysis method. It showed that affected by the dollar, the crude oil and gold markets have a partial cross-correlation relationship which is stronger than their own cross-...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2021/5558967 |
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| _version_ | 1832561545584836608 |
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| author | Zhonghui Ding Kai Shi Bin Wang |
| author_facet | Zhonghui Ding Kai Shi Bin Wang |
| author_sort | Zhonghui Ding |
| collection | DOAJ |
| description | This paper analyzed the influence of dollar on crude oil and gold based on the multifractal detrended partial cross-correlation analysis method. It showed that affected by the dollar, the crude oil and gold markets have a partial cross-correlation relationship which is stronger than their own cross-correlation. The partial cross-correlation is long-term and has multifractal characteristics. Through shuffled and Fourier-phase randomization, it is found that this multifractal feature is caused by the combined effect of the long-term cross-correlation between the returns and the fluctuation fat-tailed distribution, where the influence of the fat-tailed distribution is slightly greater than that of the long-term cross-correlation between the returns. |
| format | Article |
| id | doaj-art-119a273fed4941d0a5c0128756bdecee |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-119a273fed4941d0a5c0128756bdecee2025-02-03T01:24:41ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2021-01-01202110.1155/2021/55589675558967Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA MethodZhonghui Ding0Kai Shi1Bin Wang2College of Science, Guilin University of Technology, Guilin 541004, ChinaCollege of Information Science and Engineering, Guilin University of Technology, Guilin, 541004, ChinaCollege of Science, Guilin University of Technology, Guilin 541004, ChinaThis paper analyzed the influence of dollar on crude oil and gold based on the multifractal detrended partial cross-correlation analysis method. It showed that affected by the dollar, the crude oil and gold markets have a partial cross-correlation relationship which is stronger than their own cross-correlation. The partial cross-correlation is long-term and has multifractal characteristics. Through shuffled and Fourier-phase randomization, it is found that this multifractal feature is caused by the combined effect of the long-term cross-correlation between the returns and the fluctuation fat-tailed distribution, where the influence of the fat-tailed distribution is slightly greater than that of the long-term cross-correlation between the returns.http://dx.doi.org/10.1155/2021/5558967 |
| spellingShingle | Zhonghui Ding Kai Shi Bin Wang Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method Discrete Dynamics in Nature and Society |
| title | Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method |
| title_full | Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method |
| title_fullStr | Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method |
| title_full_unstemmed | Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method |
| title_short | Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method |
| title_sort | dollar s influence on crude oil and gold based on mf dpcca method |
| url | http://dx.doi.org/10.1155/2021/5558967 |
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