We introduce a novel approach to multifractal data in order to achieve transcended modeling and forecasting performances by extracting time series out of local Hurst exponent calculations at a specified scale. First, the long range and co-movement dependencies of the time series are scrutinized...

This study examines emerging market (EM) local bonds from a portfolio risk perspective and suggests methodologies for risk evaluation, on which the literature is limited. Despite the growth of EM bond funds in recent years, comprehensive studies regarding this industry have been scarce. In light...