MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS
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Publication:2836507
DOI10.1142/S0218348X12500259zbMath1272.28013MaRDI QIDQ2836507
Jing Wang, Pengjian Shang, Weijie Ge
Publication date: 3 July 2013
Published in: Fractals (Search for Journal in Brave)
time series analysisdetrended fluctuation analysismultifractalitycross-correlationsstatistical moment
Time series analysis of dynamical systems (37M10) Fractals (28A80) Real analysis on time scales or measure chains (26E70)
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Cites Work
- Multifractal detrended fluctuation analysis of nonstationary time series
- Multifractal Hurst analysis of crude oil prices
- Self-affine time series: Measures of weak and strong persistence.
- Estimating long-range dependence: Finite sample properties and confidence intervals
- Multi-scaling in finance
- Fractal measures and their singularities: The characterization of strange sets
- MULTIFRACTAL FLUCTUATIONS IN FINANCE
- Predictability of multifractal analysis of Hang Seng stock index in Hong Kong
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