Revisiting the multifractality in stock returns and its modeling implications

DOI10.1016/J.PHYSA.2016.09.040zbMath1400.91662OpenAlexW2528701213MaRDI QIDQ1620210

Yudong Wang, Shanshan He

Publication date: 13 November 2018

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

Full work available at URL: https://doi.org/10.1016/j.physa.2016.09.040

zbMATH Keywords

multifractalitystock returnfat-tailed distributionARFIMA-GARCHMF-DMA

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Mean reversion in the US stock market
• Negative fractal dimensions and multifractals
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• Modeling and pricing long memory in stock market volatility
• Fractional differencing
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Long-Term Memory in Stock Market Prices
• Autoregressive Conditional Density Estimation

This page was built for publication: Revisiting the multifractality in stock returns and its modeling implications