Based on the multifractal detrended fluctuation analysis (MF-DFA) and multifractal spectrum analysis, this paper empirically studies the multifractal properties of the Chinese stock index futures market. Using a total of 2,942 ten-minute closing prices, we find that the Chinese stock index...

Using multifractal detrended cross-correlation analysis (MF-DCCA), this paper studies cross-correlations between Chinese Renminbi (RMB) onshore and offshore markets. The dataset consists of 2,137 closing daily prices of exchange rates from 1 January 2005 to 9 July 2013, which covers seven major...

Based on the multifractal detrended fluctuation analysis (MF-DFA) and multifractal spectrum analysis, this paper empirically studies the multifractal properties of the Chinese stock index futures market. Using a total of 2942 ten-minute closing prices, we find that the Chinese stock index...

This paper investigates the impact of unanticipated Australian monetary policy changes on AUD/USD exchange rate futures, 3-year and 10-year Australian Treasury bond futures, during the period from January 1997 to April 2010. Our study contributes to the literature by using both 30-day and 90-day...

Based on the multifractal detrended fluctuation analysis (MF-DFA) and multifractal spectrum analysis, this paper empirically studies the multifractal properties of the Chinese stock index futures market. Using a total of 2,942 ten-minute closing prices, we find that the Chinese stock index...

This paper examines the effectiveness of the RMB regime reforms on market efficiency improving for the mainland onshore market and Hong Kong offshore market. Based on multifractal detrended fluctuation analysis (MF-DFA), we study the multifractal properties as well as multifractality degree of...