2007–2008 US financial crisis adversely affected the stock markets all over the world.  Asian markets also came under …

observe a puzzling phenomenon where an apparent increase in multifractality is measured in time series generated from shuffled … motion and Levy flights. Overall we conclude that the multifractality observed in financial time series is mainly a … measured multifractality. …

of these scaling exponents and the singularity spectrum f(α) show that the returns possess multifractality. By comparing … the MF-DFA results of the original series to those for the shuffled series, we find that the multifractality is due to the …

, On spurious and corrupted multifractality: the effects of additive noise, short- term memory and periodic trends, Physica …

multifractality, including physics, financial data analysis or physiology, because they allow to separate the ‘true’ multifractal …

definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to … volatility. This finding indicates that the stock returns may have a multifractal nature. …

In this paper, we model natural gas market volatility using GARCH-class models with long memory and fat … the stylized fact of fat-tail distributions into account. Second, we forecast volatility of basis defined as the price … detrending moving average indicate that GARCH models cannot capture multifractality in natural gas markets. This may be the …