EMPIRICAL TESTING OF MULTIFRACTALITY OF FINANCIAL TIME SERIES BASED ON WTMM

DOI10.1142/S0218348X09004508zbMath1175.42024MaRDI QIDQ3647665

Rossitsa Yalamova

Publication date: 23 November 2009

Published in: Fractals (Search for Journal in Brave)

zbMATH Keywords

multifractalsvolatilitytrading time

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Economic time series analysis (91B84) Fractals (28A80)

Cites Work

• Unnamed Item
• An improved multifractal formalism and self-similar measures
• Scaling, self-similarity and multifractality in FX markets
• Multifractal diffusion in NASDAQ
• Conditional and Relative Multifractal Spectra
• A STOCHASTIC CASCADE MODEL FOR FX DYNAMICS
• Wavelet-based estimators of scaling behavior
• Fractional Brownian Motions, Fractional Noises and Applications
• Diverging Moments and Parameter Estimation

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