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  • Search: subject:"Multifractal detrended moving average"
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Subject
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Crack spread 2 Long-range auto-correlations 2 Modeling implications 2 Multifractal detrended moving average 2 ARMA model 1 ARMA-Modell 1 Structural break 1 Strukturbruch 1 Theorie 1 Theory 1 Time series analysis 1 Zeitreihenanalyse 1
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Wang, Yudong 2 Wu, Chongfeng 2
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Economic Modelling 1 Economic modelling 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications
Wang, Yudong; Wu, Chongfeng - In: Economic Modelling 29 (2012) 2, pp. 349-360
In this paper, we investigate the long-range auto-correlations of crack spreads using a nonparametric method, named detrended moving average (MF-DMA). We find that the auto-correlations display multiscaling behaviors and are dominated by the anti-persistence (mean-reversion) in the long-term....
Persistent link: https://www.econbiz.de/10010573291
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Cover Image
What can we learn from the history of gasoline crack spreads? : long memory, structural breaks and modeling implications
Wang, Yudong; Wu, Chongfeng - In: Economic modelling 29 (2012) 2, pp. 349-360
Persistent link: https://www.econbiz.de/10009536826
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