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Multifractal detrended fluctuation analysis: Practical applications to financial time series
16 references·0 citing·32 second hop
Multifractal detrended fluctuation analysis: Practical applications to financial time series (2016)Multifractal detrended fluctuation analys…Time series analysis forecasting and control (2009)Time series analysis forecast…Theory and applications of long-range dependence (2003)Theory and applications of lo…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Detecting long-range correlations with detrended fluctuation analysis (2001)Detecting long-range correlat…The variation of certain speculative prices (1997)The variation of certain spec…Statistics for Long-Memory Processes (1997)Statistics for Long-Memory Pr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Analysing inflation by the fractionally integrated ARFIMA-GARCH model (1996)Analysing inflation by the fr…ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)ESTIMATORS FOR LONG-RANGE DEP…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Time Series Analysis: Forecasting and Control. (1978)Time Series Analysis: Forecas…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Typical Spectral Shape of an Economic Variable (1966)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The predictive power of online chatter (2005)Quantile regression for dynamic panel data with fixed effects (2011)Tourism demand forecasting: A deep learning approach (2019)Some properties of time series data and their use in econometric model specification (1981)A long memory property of stock market returns and a new model (1993)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)Principles of forecasting : a handbook for researchers and practitioners (2001)25 years of time series forecasting (2006)The politics of attention: how government prioritizes problems (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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  • 1996

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Analysing inflation by the fractionally integrated ARFIMA-GARCH model
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