Multifractal regime detecting method for financial time series

DOI10.1016/j.chaos.2014.11.006zbMath1351.62182OpenAlexW2020728202MaRDI QIDQ728164

Woojin Chang, Ho-Jin Lee

Publication date: 19 December 2016

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2014.11.006

zbMATH Keywords

multifractalgeneralized Hurst exponentKorea composite stock price index

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80) Fractals (28A80) Markov processes: hypothesis testing (62M02)

Related Items (3)

Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach ⋮ Multifractal value at risk model ⋮ Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis

Cites Work

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• Multi-scaling in finance
• Multifractality Tests Using Bootstrapped Wavelet Leaders
• Modelling financial time series using multifractal random walks
• Forecasting multifractal volatility

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