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On the multifractal analysis of Bernoulli convolutions. II. Dimensions

✍ Scribed by François Ledrappier; Anna Porzio

Publisher
Springer
Year
1996
Tongue
English
Weight
674 KB
Volume
82
Category
Article
ISSN
0022-4715

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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