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ArticleMultifractality and long memory of a financial index

Pablo Suárez-García2013

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Multifractality and long memory of a financial index

Pablo Suárez-García · David Gómez‐Ullate

48 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Statistical Mechanics and Entropy

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References

1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?2002Multifractal detrended fluctuation analysis of nonstationary time series 2001Empirical properties of asset returns: stylized facts and statistical issues 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series 2001Detecting long-range correlations with detrended fluctuation analysis 1988What Moves Stock Prices?2008Multifractal detrended cross-correlation analysis for two nonstationary signals 1993Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method

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Year2013

Typearticle

Published2013-09-27

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations48

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.physa.2013.09.038

openalex_workW2028099171

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