In this paper, we propose a new hedging model combining the newly introduced multifractal volatility (MFV) model and the dynamic copula functions. Using high-frequency intraday quotes of the spot Shanghai Stock Exchange Composite Index (SSEC), spot China Securities Index 300 (CSI 300), and CSI...

In this paper, we study the auto-correlations and cross-correlations of West Texas Intermediate (WTI) crude oil spot and futures return series employing detrended fluctuation analysis (DFA) and detrended cross-correlation analysis (DCCA). Scaling analysis shows that, for time scales smaller than...

By applying the rolling window method, we investigate the efficiency of the Shanghai stock market through the dynamic changes of local Hurst exponents based on multifractal detrended fluctuation analysis. We decompose the realized volatility into continuous sample paths and jump components and...

In this paper, we investigate the cross-correlations between Chinese A-share and B-share markets. Qualitatively, we find that the return series of Chinese A-share and B-share markets were overall significantly cross-correlated based on the analysis of a statistic. Quantitatively, employing the...

In this paper, we investigate the long-range auto-correlated behavior of WTI crude oil volatility series employing multifractal detrended fluctuation analysis. Our findings show that the for small time scales, the auto-correlations of volatilities were multifractal while for large time scales,...

This paper investigates long memory (or long-range dependence) in price returns and volatilities of energy futures contracts with different maturities. Based on a modified rescaled range analysis and three local Whittle methods, the results from rolling sample test suggest that the returns...

In this paper, we investigate the long-range auto-correlations of crack spreads using a nonparametric method, named detrended moving average (MF-DMA). We find that the auto-correlations display multiscaling behaviors and are dominated by the anti-persistence (mean-reversion) in the long-term....

While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this...

This paper extends the work in Wang, Liu and Gu (2009) [Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis. International Review of Financial Analysis, 18, 271-276] by investigating the dynamics of two main sources of multifractality over time....

This paper extends the work of Kang et al. (2009). We use a greater number of linear and nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) class models to capture the volatility features of two crude oil markets -- Brent and West Texas Intermediate (WTI). The one-,...