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How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market

Sattarhoff, Cristina; Gronwald, Marc - 2018

coefficient. This is a multifractality measure that can quantify the deviation from a random walk within the framework of the …

Persistent link: https://www.econbiz.de/10011887362

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

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