Analysis of the efficiency and multifrac
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Yudong Wang; Yu Wei; Chongfeng Wu
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Article
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2011
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Elsevier Science
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English
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In this paper, we investigate the efficiency and multifractality of a gold market based on multifractal detrended fluctuation analysis. Our evidence shows that the gold return series are multifractal both for time scales smaller than a month and for time scales larger than a month. For time scales s