Search Results - subject:"Detrended fluctuation analysis"

Application of Fractal Processes and Fractional Derivatives in Finance

Chan, Leung Lung (contributor) - 2024

fluctuation analysis, and other fractional analyses. Meanwhile, option pricing focuses on the fractional Black–Scholes models and … and volatility index. Multifractal analyses include cross-correlation multifractal analysis, multifractal detrended …

Persistent link: https://www.econbiz.de/10015324975

Cryptocurrency market efficiency : does distributed ledger technology matter

Kave, Arman; Owjimehr, Sakine - In: Iranian economic review : journal of University of Tehran 28 (2024) 4, pp. 1396-1424

Persistent link: https://www.econbiz.de/10015403602

The long-run validity of PPP in some major advanced and emerging countries using alternative models

Kyei-Mensah, Justice - In: Cogent Economics & Finance 11 (2023) 1, pp. 1-26

study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology …

Persistent link: https://www.econbiz.de/10015074790

The long-run validity of PPP in some major advanced and emerging countries using alternative models

Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26

study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology …

Persistent link: https://www.econbiz.de/10014500904

When two banks fall, how do markets react?

Almeida, Dora; Dionísio, Andreia Teixeira Marques; … - In: Economics and Business Letters : EBL 12 (2023) 4, pp. 331-341

Persistent link: https://www.econbiz.de/10014448615

Cryptocurrencies and long-range trends

Alexiadou, Monica; Sofianos, Emmanouil; Gkonkas, Periklēs - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-17

In this study we investigate possible long-range trends in the cryptocurrency market. We employed the Hurst exponent in a sample covering the period from 1 January 2016 to 26 March 2021. We calculated the Hurst exponent in three non-overlapping consecutive windows and in the whole sample. Using...

Persistent link: https://www.econbiz.de/10014279894

Diesel prices in Brazil : a dynamic fractional integration analysis

Quintino, Derick David; Ferreira, Paulo - In: Economics and Business Letters : EBL 10 (2021) 2, pp. 116-125

Persistent link: https://www.econbiz.de/10012547886

Long-range behaviour and correlation in DFA and DCCA analysis of cryptocurrencies

Costa, Natália; Silva, César; Ferreira, Paulo - In: International Journal of Financial Studies 7 (2019) 3, pp. 1-12

data availability: Bitcoin, Ethereum, Ripple, and Litecoin. We apply detrended fluctuation analysis (the regular one and …

Persistent link: https://www.econbiz.de/10013200229

Time evolution of hurst exponent: Czech wholesale electricity market study

Čurpek, Juraj - In: European Financial and Accounting Journal 14 (2019) 3, pp. 25-44

order to estimate the Hurst exponent using the Detrended Fluctuation Analysis method on subsamples with four distinct window …

Persistent link: https://www.econbiz.de/10012623021

Time evolution of hurst exponent : Czech wholesale electricity market study

Čurpek, Juraj - In: European financial and accounting journal : EFAJ 14 (2019) 3, pp. 25-44

order to estimate the Hurst exponent using the Detrended Fluctuation Analysis method on subsamples with four distinct window …

Persistent link: https://www.econbiz.de/10012202007