Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA
From MaRDI portal
Publication:1693939
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
Related Items
Modified multifractal large deviation spectrum based on CID for financial market system, Asymmetric multifractality, comparative efficiency analysis of Green finance markets: a dynamic study by index-based model, Disturbances and complexity in volatility time series, Emergence of turbulent epochs in oil prices, Chaos, randomness and multi-fractality in bitcoin market, The novel multi-scale local irreversibility analysis method based on segmentation about time series
Cites Work