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

DOI10.1016/j.chaos.2017.02.001zbMath1380.91147OpenAlexW2590218058MaRDI QIDQ1693939

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

Publication date: 1 February 2018

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2017.02.001

zbMATH Keywords

stock indicesA-MFDFAasymmetric multifractalityindex trendreturn trend

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Time series analysis of dynamical systems (37M10)

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Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Testing for nonlinearity in time series: the method of surrogate data
• Multifractal value at risk model
• Ranking efficiency for emerging markets
• Multifractal analysis of Hang Seng index in Hong Kong stock market