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Forecasting volatility in Shanghai and Shenzhen markets based on multifractal analysis

โœ Scribed by Hongtao Chen; Chongfeng Wu

Book ID
108237258
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
376 KB
Volume
390
Category
Article
ISSN
0378-4371

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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