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Daily fluctuations of the American dollar–Mexican peso exchange currency market are studied using multifractal analysis … methods. It is found evidence of multiaffinity of daily fluctuations in the sense that the qth-order (roughness) Hurst …
Persistent link: https://www.econbiz.de/10010873202
Daily records of international crude oil prices are studied using multifractal analysis methods. Rescaled range Hurst analysis provides evidence that the crude oil market is a persistent process with long-run memory effects. On the other hand, height–height correlation analysis reveals...
Persistent link: https://www.econbiz.de/10010874774