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Cross-correlations between the P2P interest rate, Shibor and treasury yields

Li, SP; Lu, XS; Li, JF

Lu, XS (corresponding author), Univ Jinan, Financial Res Inst, Jinan 250022, Shandong, Peoples R China.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2021; 574 ():

Abstract

Using interest rate market data, this paper employs a multifractal cross-correlation analysis (MFCCA) to study the cross-correlations between market i......

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