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  • Search: subject:"Multifractality"
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Year of publication
Subject
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Multifractality 84 Volatility 24 Volatilität 23 multifractality 21 Efficient market hypothesis 19 Effizienzmarkthypothese 19 Time series analysis 16 Zeitreihenanalyse 14 Börsenkurs 13 MF-DFA 13 Share price 12 Welt 12 World 12 Coronavirus 11 Hurst exponent 10 Theorie 10 Financial market 9 Finanzmarkt 9 Stock market 9 Theory 9 market efficiency 9 Generalized Hurst exponent 8 Virtual currency 8 Virtuelle Währung 8 Capital income 7 Kapitaleinkommen 7 Aktienmarkt 6 Efficiency 6 Financial markets 6 Impact assessment 6 Wirkungsanalyse 6 multi-fractality 6 COVID-19 5 Detrended fluctuation analysis 5 Econophysics 5 Estimation 5 Oil market 5 Scaling 5 Schätzung 5 Stock markets 5
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Online availability
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Undetermined 99 Free 24 CC license 4
Type of publication
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Article 112 Book / Working Paper 19 Other 1
Type of publication (narrower categories)
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Article in journal 37 Aufsatz in Zeitschrift 37 Working Paper 9 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article 2 research-article 1
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Language
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Undetermined 80 English 52
Author
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Lux, Thomas 7 Gu, Rongbao 5 Takaishi, Tetsuya 5 Aslam, Faheem 4 Lu, Xinsheng 4 Wang, Yudong 4 Zhou, Ying 4 Bickley, Steve J. 3 Brumpton, Martin 3 Bunde, Armin 3 Chan, Ho Fai 3 Chen, Shu-Peng 3 Colthurst, Richard 3 Drożdż, S. 3 El Alaoui, Marwane 3 Ferreira, Paulo 3 Gronwald, Marc 3 He, Ling-Yun 3 Kantelhardt, Jan W. 3 Kwapień, J. 3 Li, Zhihui 3 Oświe¸cimka, P. 3 Sattarhoff, Cristina 3 Tian, Jie 3 Torgler, Benno 3 Ali, Haider 2 Aste, Tomaso 2 Aydin, Zehra Berna 2 Bariviera, Aurelio Fernández 2 Benbachir, Saâd 2 Bershadskii, A. 2 Bogachev, Mikhail I. 2 Di Matteo, T. 2 Ghosh, Dipak 2 Gursakal, Necmi 2 Gursakal, Sevda 2 Khan, Khalid 2 Liu, Li 2 Loukil, Nadia 2 Mensi, Walid 2
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Institution
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Society for Computational Economics - SCE 2 University of Bonn, Germany 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 EconWPA 1 Faculty of Business, Auckland University of Technology 1 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 1
Published in...
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Physica A: Statistical Mechanics and its Applications 66 Finance research letters 5 Computational economics 3 Energy economics 3 Research in international business and finance 3 Discussion Paper Serie B 2 International Journal of Sustainable Economy 2 Journal of Risk and Financial Management 2 Journal of risk and financial management : JRFM 2 MPRA Paper 2 Annals of Faculty of Economics 1 Annals of financial economics 1 Applied economics 1 Asia Pacific financial markets 1 CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series 1 CESifo Working Paper 1 CESifo working papers 1 CREMA Working Paper 1 Computational Statistics 1 Computing in Economics and Finance 2001 1 Computing in Economics and Finance 2003 1 Economic modelling 1 Economic research 1 Economics Working Paper 1 Economics Working Paper Series 1 Economics Working Papers / Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 1 Economies : open access journal 1 Eurasian economic review : a journal in applied macroeconomics and finance 1 Finance 1 Global Business and Economics Review 1 International Journal of Emerging Markets 1 International Journal of Financial Markets and Derivatives 1 International journal of computational economics and econometrics 1 International review of financial analysis 1 Journal of business & economics research 1 Journal of economics and finance : JEF 1 Journal of forecasting 1 Journal of management science and engineering 1 Journal of quantitative economics 1 Kiel Working Paper 1
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Source
All
RePEc 81 ECONIS (ZBW) 41 EconStor 8 BASE 1 Other ZBW resources 1
Showing 51 - 60 of 132
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Evidences for a structural change in the oil market before a financial crisis : the flat horizon effect
Chiarucci, Riccardo; Loffredo, Maria I.; Ruzzenenti, Franco - In: Research in international business and finance 42 (2017), pp. 912-921
Persistent link: https://www.econbiz.de/10011753802
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A Multifractal Detrended Fluctuation Analysis of the Moroccan Stock Exchange
Benbachir, Saâd; El Alaoui, Marwane - Volkswirtschaftliche Fakultät, … - 2011
phaserandomization techniques to detect the sources of the multifractality. We show that there are two major sources of multifractality … mainly to the multifractality of MASI index while the two sources contribute almost equally to the multifractality of the …
Persistent link: https://www.econbiz.de/10011108137
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Is efficiency of crude oil market affected by multifractality? : evidence from the WTI crude oil market
Gu, Rongbao; Zhang, Bing - In: Energy economics 53 (2016), pp. 151-158
Persistent link: https://www.econbiz.de/10011660491
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Relative forecasting performance of volatility models: Monte Carlo evidence
Lux, Thomas; Morales-Arias, Leonardo - 2010
components, stochastic shocks, Markov-switching and multifractality. Forecasts are evaluated by means of Mean Squared Errors (MSE …
Persistent link: https://www.econbiz.de/10010265831
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International asset prices : empirical evidence
Leonardo Morales-Arias - 2009
The recently witnessed financial turmoil and the current international stability context have demonstrated the need for a deeper understandingabout ex-ante international asset price fluctuations. Moreover, it is now more evident that very little is known about real estate securities and their...
Persistent link: https://www.econbiz.de/10009429017
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Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price
Zhuang, Xiaoyang; Wei, Yu; Ma, Feng - In: Physica A: Statistical Mechanics and its Applications 430 (2015) C, pp. 101-113
In this paper, the multifractality and efficiency degrees of ten important Chinese sectoral indices are evaluated using … indices of Chinese stock market exist different degrees of multifractality. The results of different efficiency measures have …
Persistent link: https://www.econbiz.de/10011264549
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Multifractal analysis of Asian markets during 2007–2008 financial crisis
Hasan, Rashid; Mohammad, Salim M. - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 746-761
2007–2008 US financial crisis adversely affected the stock markets all over the world.  Asian markets also came under pressure and were differently affected. As markets under stress could reveal features that remain hidden under normal conditions, we use MF-DFA technique to investigate the...
Persistent link: https://www.econbiz.de/10011117879
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Self-organized criticality attributed to a central limit-like convergence effect
Kendal, Wayne S. - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 141-150
Self-organized criticality is a hypothesis used to explain the origin of 1/f noise and other scaling behaviors. Despite being proposed nearly 30 years ago, no consensus exists as to its exact definition or mathematical mechanism(s). Recently, a model for 1/f noise was proposed based on a family...
Persistent link: https://www.econbiz.de/10011193988
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The effectiveness of China’s RMB exchange rate reforms: An insight from multifractal detrended fluctuation analysis
Qin, Jing; Lu, Xinsheng; Zhou, Ying; Qu, Ling - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 443-454
multifractal properties as well as multifractality degree of RMB/USD and RMB/HKD exchange markets. Our empirical results show that …
Persistent link: https://www.econbiz.de/10011194024
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Multifractal detrended fluctuation analysis of particle density fluctuations in high-energy nuclear collisions
Mali, P.; Sarkar, S.; Ghosh, S.; Mukhopadhyay, A.; Singh, G. - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 25-33
The detrended fluctuation analysis (DFA) and the multifractal DFA (MF-DFA) techniques are employed to characterize the pseudorapidity (η) distribution of charged mesons produced in 28Si+Ag/Br interaction at 14.5 GeV/nucleon and 32S+Ag/Br interaction at 200 GeV/nucleon. Various multifractal...
Persistent link: https://www.econbiz.de/10011194082
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