We divided the whole series of Shenzhen stock market into two sub-series at the criterion of the date of a reform and their scale behaviors are investigated using multifractal detrended fluctuation analysis (MF-DFA). Employing the method of rolling window, we find that Shenzhen stock market was...

This paper extends the work in Wang, Liu and Gu (2009) [Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis. International Review of Financial Analysis, 18, 271-276] by investigating the dynamics of two main sources of multifractality over time....

This paper extends the work of Kang et al. (2009). We use a greater number of linear and nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) class models to capture the volatility features of two crude oil markets -- Brent and West Texas Intermediate (WTI). The one-,...

This paper extends the work in Tabak and Cajueiro [Are the crude oil markets becoming weakly efficient over time, Energy Economics 29 (2007) 28-36] and Alvarez-Ramirez et al. [Short-term predictability of crude oil markets: a detrended fluctuation analysis approach, Energy Economics 30 (2008)...

This paper investigates the issue whether GARCH-type models can well capture the long memory widely existed in the volatility of WTI crude oil returns. In this frame, we model the volatility of spot and futures returns employing several GARCH-class models. Then, using two non-parametric methods,...

In this paper, we investigate the long-range auto-correlations of crack spreads using a nonparametric method, named detrended moving average (MF-DMA). We find that the auto-correlations display multiscaling behaviors and are dominated by the anti-persistence (mean-reversion) in the long-term....