Long memory and multifractality: a joint test

DOI10.1016/j.physa.2015.12.166zbMath1400.62235arXiv1601.00903OpenAlexW2230321257MaRDI QIDQ1619397

Enrico Onali, John Goddard

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.00903

zbMATH Keywords

long memorymultifractalityvolatility clusteringexchange rate returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method
• Short and long memory in stock returns data
• Forecasting multifractal volatility