Multifractality and long memory of a financial index
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DOI: 10.1016/j.physa.2013.09.038
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- Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.
- Niu, Hongli & Wang, Jun & Lu, Yunfan, 2016. "Fluctuation behaviors of financial return volatility duration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 30-40.
- Zhongjun Wang & Mengye Sun & A. M. Elsawah, 2020. "Improving MF-DFA model with applications in precious metals market," Papers 2006.15214, arXiv.org.
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Keywords
Financial time-series; Intermittence; Multifractality; Long-memory; Stylized facts; Financial markets dynamics;All these keywords.
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