期刊论文

Fan, Qingju

英文

Nonlinear Dynamics

0924-090X

2018

91

3

1527-1540

10.1007/s11071-017-3962-7

The authors wish to thank the two anonymous reviewers and the handling editor Dr. Tenreiro Machado for their comments and suggestions, which led to a great improvement to the presentation of this work. Research is supported by National Natural Science Foundation of China (Grant Nos. 31501227, 61603283, 61672395), Social Science Foundation of Hunan Province (Grant No. 15YBA204) and the Fundamental Research Funds for the Central Universities (Grant Nos. 2014-Ia-038 and 2016-IA-001).

本校为第一机构

In order to access the asymmetric cross-correlation between two time series in a wide range of scales, the method of asymmetric multiscale multifractal detrended cross-correlation analysis (A-MMFCCA) is proposed in this study, which is an extension of the asymmetric detrended fluctuation analysis and the multifractal cross-correlation analysis. Multiscale multifractal detrended cross-correlation analysis enables us to find that the price and the load series of California electricity market exhibit long-range persistent multifractal cross-correl...