Multifractal behavior of the Korean stock-market index KOSPI
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DOI: 10.1016/j.physa.2005.08.082
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References listed on IDEAS
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- Wang, Qizhen & Zhu, Yingming & Yang, Liansheng & Mul, Remco A.H., 2017. "Coupling detrended fluctuation analysis of Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 337-350.
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- Tetsuya Takaishi, 2017. "Statistical properties and multifractality of Bitcoin," Papers 1707.07618, arXiv.org, revised May 2018.
- Nobi, Ashadun & Maeng, Seong Eun & Ha, Gyeong Gyun & Lee, Jae Woo, 2014. "Effects of global financial crisis on network structure in a local stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 135-143.
- Nazarian, Rafik & Gandali Alikhani, Nadiya & Naderi, Esmaeil & Amiri, Ashkan, 2013. "Forecasting Stock Market Volatility: A Forecast Combination Approach," MPRA Paper 46786, University Library of Munich, Germany.
- Bai, Man-Ying & Zhu, Hai-Bo, 2010. "Power law and multiscaling properties of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1883-1890.
- Mensi, Walid & Lee, Yun-Jung & Vinh Vo, Xuan & Yoon, Seong-Min, 2021. "Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
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- Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013. "Long Memory Analysis: An Empirical Investigation," MPRA Paper 45605, University Library of Munich, Germany.
- Majid Delavari & Nadiya Gandali Alikhani & Esmaeil Naderi, 2013.
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- Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2012. "Do Dynamic Neural Networks Stand a Better Chance in Fractionally Integrated Process Forecasting?," MPRA Paper 45977, University Library of Munich, Germany.
- Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
- Ruan, Yong-Ping & Zhou, Wei-Xing, 2011.
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Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1646-1654.
- Yong-Ping Ruan & Wei-Xing Zhou, 2010. "Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant," Papers 1008.0160, arXiv.org.
- Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2008.
"Multifractal analysis of Chinese stock volatilities based on the partition function approach,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(19), pages 4881-4888.
- Zhi-Qiang Jiang & Wei-Xing Zhou, 2008. "Multifractal analysis of Chinese stock volatilities based on partition function approach," Papers 0801.1710, arXiv.org, revised Feb 2008.
- Jale, Jader S. & Júnior, Sílvio F.A.X. & Stošić, Tatijana & Stošić, Borko & Ferreira, Tiago A.E., 2019. "Information flow between Ibovespa and constituent companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 233-239.
- Lee, Minhyuk & Song, Jae Wook & Park, Ji Hwan & Chang, Woojin, 2017. "Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA," Chaos, Solitons & Fractals, Elsevier, vol. 97(C), pages 28-38.
- Takaishi, Tetsuya, 2018. "Statistical properties and multifractality of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 507-519.
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Keywords
Econophysics; Multiscaling; Multifractal; Stock market;All these keywords.
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