Detecting multi-fractal properties in asset returns: The failure of the scaling estimator
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- Oświe¸cimka, P. & Kwapień, J. & Drożdż, S., 2005. "Multifractality in the stock market: price increments versus waiting times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 347(C), pages 626-638.
- Bell, Peter, 2012. "Goodness of fit test for the multifractal model of asset returns," MPRA Paper 38689, University Library of Munich, Germany.
- Rypdal, Martin & Sirnes, Espen & Løvsletten, Ola & Rypdal, Kristoffer, 2013.
"Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3335-3343.
- Martin Rypdal & Espen Sirnes & Ola L{o}vsletten & Kristoffer Rypdal, 2012. "Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations," Papers 1202.4877, arXiv.org.
- Kwapień, J. & Drożdż, S. & Oświe¸cimka, P., 2006. "The bulk of the stock market correlation matrix is not pure noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 359(C), pages 589-606.
- Kwapień, J. & Oświe¸cimka, P. & Drożdż, S., 2005. "Components of multifractality in high-frequency stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 466-474.
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JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
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