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....