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Fractal structure of the stock markets of leading Asian countries

Günay, Samet - In: Journal of East Asian economic integration 18 (2014) 4, pp. 367-394

Persistent link: https://www.econbiz.de/10010480116

Fractal structure of the stock markets of leading asian countries

Günay, Samet - In: Journal of East Asian economic integration 18 (2014) 4, pp. 367-394

In this study, we examined the fractal structure of the Nikkei225, HangSeng, Shanghai Stock Exchange and Straits Times Index of Singapore. Empirical analysis was performed via non-parametric, semi-parametric long memory tests and also fractal dimension calculations. In order to avoid spurious...

Persistent link: https://www.econbiz.de/10011568388

The effect of noise on recurrent diagrams of energy consumption of a metallurgical enterprise

Bakurova, Anna; Yuskiv, Olesia - In: Technology audit and production reserves 4 (2024) 1/78, pp. 11-16

Persistent link: https://www.econbiz.de/10015078503

Efektivita kapitálových trhu̇ : fraktální dimenze, hurstu̇v exponent a entropie

Kríštoufek, Ladislav; Vošvrda, Miloslav S. - In: Politická ekonomie : teorie, modelování, aplikace 60 (2012) 2, pp. 208-221

Persistent link: https://www.econbiz.de/10010374013

Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process

Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415

Persistent link: https://www.econbiz.de/10014339985

Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes

Jiang, Hui; Pan, Yajuan; Liao, Weilin; Yang, Qingshan; … - 2023

Persistent link: https://www.econbiz.de/10014320455

Testing for long memory in potentially nonstationary perturbed fractional processes

Frederiksen, Per; Nielsen, Frank S. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 329-381

Persistent link: https://www.econbiz.de/10010351544

A test of the long memory hypothesis based on self-smimilarity

Davidson, James; Rambaccussing, Dooruj - 2015

Persistent link: https://www.econbiz.de/10010513443

Measuring capital market efficiency : long-term memory, fractal dimension and approximate entropy

Kristoufek, Ladislav; Vošvrda, Miloslav S. - 2014

We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are able to comment on stock market efficiency after controlling for different types of inefficiencies. Applying the...

Persistent link: https://www.econbiz.de/10010407497

Fractal characteristics of world market commodity derivatives

Oksana, Mykhailovska - In: Revista română de economie 38 (2014) 1, pp. 36-48

Persistent link: https://www.econbiz.de/10010518941