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Are crude oil markets multifractal? Evidence from MF-DFA and MF-SSA perspectives
16 references·1 citing·35 second hop
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References

  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1994Fractal Market Analysis: Applying Chaos Theory to Investment and Economics983 cited
  • 1967The Variation of Some Other Speculative Prices532 cited
  • 1992Chaos and order in the capital markets: a new view of cycles, prices, and market volatility423 cited
  • 2003Multifractal properties of price fluctuations of stocks and commodities343 cited
  • 2005Long-term persistence and multifractality of river runoff records: Detrended fluctuation studies301 cited
  • 2008Short-term predictability of crude oil markets: A detrended fluctuation analysis approach245 cited
  • 2006Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility235 cited
  • 2009Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis199 cited
  • 2002Multifractal Hurst analysis of crude oil prices187 cited
  • 2009Jump dynamics and volatility: Oil and the stock markets184 cited
  • 2005A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate172 cited
  • 2004Components of multifractality in high-frequency stock returns152 cited

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  • 2001Chaos in oil prices? Evidence from futures markets145 cited
  • 2008Multifractal analysis of Chinese stock volatilities based on the partition function approach107 cited
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    • 2008Multifractal analysis of streamflow records of the East River basin (Pearl River), China65 cited