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Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA · Study

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ArticleAsymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA

Minhyuk Lee2017

Article2017

Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA

Minhyuk Lee · Jae Wook Song · Ji Hwan Park · Woojin Chang

56 citations·0/0 files stored·Chaos Solitons & Fractals

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

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References

2002Multifractal detrended fluctuation analysis of nonstationary time series 2001Extreme Correlation of International Equity Markets 2002Asymmetric correlations of equity portfolios 1977Long-term dependence in common stock returns 2010Detrending moving average algorithm for multifractals 2001Magnitude and Sign Correlations in Heartbeat Fluctuations 2004Can one make any crash prediction in finance using the local Hurst exponent idea?2009Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis

Cited by

2023Asymmetric multifractality: Comparative efficiency analysis of global technological and renewable energy prices using MFDFA and A-MFDFA approaches 2022Asymmetric multifractality, comparative efficiency analysis of green finance markets: A dynamic study by index-based model 2022COVID-19 impact on multifractality of energy prices: Asymmetric multifractality analysis

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Year2017

Typearticle

Published2017-02-20

VenueChaos Solitons & Fractals

ISSN-L0960-0779

Languageen

Citations56

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.chaos.2017.02.001

openalex_workW2590218058

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