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Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA
16 references·3 citing·45 second hop
Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA (2017)Asymmetric multi-fractality in the U.S. s…An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA (2014)An analysis of stock market e…Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA (2012)Asymmetric multifractal scali…Detrending moving average algorithm for multifractals (2010)Detrending moving average alg…The components of empirical multifractality in financial returns (2009)The components of empirical m…Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis (2009)Measuring multifractality of …Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis (2009)Analysis of efficiency for Sh…A DFA approach for assessing asymmetric correlations (2009)A DFA approach for assessing …A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate (2005)A multifractal detrended fluc…Ranking efficiency for emerging markets (2004)Ranking efficiency for emergi…Can one make any crash prediction in finance using the local Hurst exponent idea? (2004)Can one make any crash predic…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Magnitude and Sign Correlations in Heartbeat Fluctuations (2001)Magnitude and Sign Correlatio…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Application of the detrended fluctuation analysis (DFA) method for describing cloud breaking (1999)Application of the detrended …Long-term dependence in common stock returns (1977)Long-term dependence in commo…Asymmetric multifractality: Comparative efficiency analysis of global technological and renewable energy prices using MFDFA and A-MFDFA approaches (2023)Asymmetric multifractality: C…COVID-19 impact on multifractality of energy prices: Asymmetric multifractality analysis (2022)COVID-19 impact on multifract…Asymmetric multifractality, comparative efficiency analysis of green finance markets: A dynamic study by index-based model (2022)Asymmetric multifractality, c…The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Long memory processes and fractional integration in econometrics (1996)Real and Spurious Long-Memory Properties of Stock-Market Data (1998)Empirical properties of asset returns: stylized facts and statistical issues (2001)An examination of herd behavior in equity markets: An international perspective (2000)A multifractal approach for stock market inefficiency (2008)Cross-correlations between Chinese A-share and B-share markets (2010)Asymmetric efficiency of cryptocurrencies during COVID19 (2020)Fractals and Scaling in Finance (1997)Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Multifractal detrending moving-average cross-correlation analysis (2011)On the Modeling of Financial Time Series (2014)Multifractal analysis of financial markets: a review (2019)A long memory property of stock market returns and a new model (1993)Forbidden patterns, permutation entropy and stock market inefficiency (2009)Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency (2010)Multiscale characteristics of the emerging global cryptocurrency market (2020)Long-term Memory in Stock Market Prices (1989)Long-Term Memory in Stock Market Prices (1991)A search for long memory in international stock market returns (1995)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Measuring capital market efficiency: Global and local correlations structure (2012)The interactive relationship between the US economic policy uncertainty and BRIC stock markets (2016)Introduction to Econophysics (1999)Detecting long-range correlations with detrended fluctuation analysis (2001)Effect of trends on detrended fluctuation analysis (2001)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 Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The distribution of realized stock return volatility (2001)Asset pricing with liquidity risk (2005)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)
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References

  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,704 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1977Long-term dependence in common stock returns478 cited
  • 2010Detrending moving average algorithm for multifractals440 cited
  • 2001Magnitude and Sign Correlations in Heartbeat Fluctuations398 cited
  • 2004Can one make any crash prediction in finance using the local Hurst exponent idea?252 cited
  • 2009Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis229 cited
  • 2004Ranking efficiency for emerging markets209 cited
  • 2009Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis199 cited
  • 2009The components of empirical multifractality in financial returns195 cited
  • 2014An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA180 cited
  • 1999Application of the detrended fluctuation analysis (DFA) method for describing cloud breaking175 cited
  • 2005A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate172 cited
  • 2012

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Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA
145 cited
  • 2009A DFA approach for assessing asymmetric correlations121 cited
  • Cited by

    • 2023Asymmetric multifractality: Comparative efficiency analysis of global technological and renewable energy prices using MFDFA and A-MFDFA approaches53 cited
    • 2022Asymmetric multifractality, comparative efficiency analysis of green finance markets: A dynamic study by index-based model49 cited
    • 2022COVID-19 impact on multifractality of energy prices: Asymmetric multifractality analysis48 cited