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International asset prices : empirical evidence

Leonardo Morales-Arias - 2009

The recently witnessed financial turmoil and the current international stability context have demonstrated the need for a deeper understandingabout ex-ante international asset price fluctuations. Moreover, it is now more evident that very little is known about real estate securities and their...

Persistent link: https://www.econbiz.de/10009429017

Relative forecasting performance of volatility models: Monte Carlo evidence

Lux, Thomas; Morales-Arias, Leonardo - 2010

components, stochastic shocks, Markov-switching and multifractality. Forecasts are evaluated by means of Mean Squared Errors (MSE …

Persistent link: https://www.econbiz.de/10010265831

Time evolution of market efficiency and multifractality of the Japanese stock market

Takaishi, Tetsuya - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-12

anti-persistence around the year 2000, which still persists. The degree of multifractality varies over time and does not …

Persistent link: https://www.econbiz.de/10013201335

Multifractal analysis of market efficiency across structural breaks: Implications for the adaptive market hypothesis

Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of Risk and Financial Management 13 (2020) 10, pp. 1-18

The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the series are...

Persistent link: https://www.econbiz.de/10012611450

Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market

Lu, Xinsheng; Tian, Jie; Zhou, Ying; Li, Zhihui - 2012

-minute closing prices, we find that the Chinese stock index futures returns exhibit long-range correlations and multifractality … there exists two different sources of the multifractality for the Chinese stock index futures market. Our results suggest … that the multifractality is mainly due to long-range correlations, although the fat-tailed probability distributions also …

Persistent link: https://www.econbiz.de/10012624236

A Multifractal Detrended Fluctuation Analysis of the Moroccan Stock Exchange

Benbachir, Saâd; El Alaoui, Marwane - Volkswirtschaftliche Fakultät, … - 2011

phaserandomization techniques to detect the sources of the multifractality. We show that there are two major sources of multifractality … mainly to the multifractality of MASI index while the two sources contribute almost equally to the multifractality of the …

Persistent link: https://www.econbiz.de/10011108137

Multifractal analysis of Asian markets during 2007–2008 financial crisis

Hasan, Rashid; Mohammad, Salim M. - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 746-761

2007–2008 US financial crisis adversely affected the stock markets all over the world. Asian markets also came under pressure and were differently affected. As markets under stress could reveal features that remain hidden under normal conditions, we use MF-DFA technique to investigate the...

Persistent link: https://www.econbiz.de/10011117879

Self-organized criticality attributed to a central limit-like convergence effect

Kendal, Wayne S. - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 141-150

Self-organized criticality is a hypothesis used to explain the origin of 1/f noise and other scaling behaviors. Despite being proposed nearly 30 years ago, no consensus exists as to its exact definition or mathematical mechanism(s). Recently, a model for 1/f noise was proposed based on a family...

Persistent link: https://www.econbiz.de/10011193988

The effectiveness of China’s RMB exchange rate reforms: An insight from multifractal detrended fluctuation analysis

Qin, Jing; Lu, Xinsheng; Zhou, Ying; Qu, Ling - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 443-454

multifractal properties as well as multifractality degree of RMB/USD and RMB/HKD exchange markets. Our empirical results show that …

Persistent link: https://www.econbiz.de/10011194024

Multifractal detrended fluctuation analysis of particle density fluctuations in high-energy nuclear collisions

Mali, P.; Sarkar, S.; Ghosh, S.; Mukhopadhyay, A.; Singh, G. - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 25-33

The detrended fluctuation analysis (DFA) and the multifractal DFA (MF-DFA) techniques are employed to characterize the pseudorapidity (η) distribution of charged mesons produced in 28Si+Ag/Br interaction at 14.5 GeV/nucleon and 32S+Ag/Br interaction at 200 GeV/nucleon. Various multifractal...

Persistent link: https://www.econbiz.de/10011194082