Table 8 Cross-correlation exponents considering the nominal exchange rate (NER) and nominal interest rate (NIR).
From: Multi-fractal detrended cross-correlation heatmaps for time series analysis
Method/time-series | Region I | Region II | Region III |
|---|---|---|---|
DFA\(_1\)/NER | 0.674 ± 0.003 | 0.444 ± 0.004 | 0.71 ± 0.02 |
DFA\(_1\)/NIR | 0.418 ± 0.003 | 0.27 ± 0.01 | 0.021 ± 0.004 |
DFA\(_0\)/NER | 0.59 ± 0.01 | 0.473 ± 0.005 | 0.28 ± 0.03 |
DFA\(_0\)/NIR | 0.368 ± 0.005 | 0.139 ± 0.006 | 0.21 ± 0.02 |
DCCA\(_1\) | 0.61 ± 0.01 | 0.47 ± 0.02 | 0.46 ± 0.01 |
DCCA\(_0\) | 0.754 ± 0.007 | 0.377 ± 0.004 | 0.218 ± 0.009 |
