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Understanding the source of multifractality in financial markets

Barunik, Jozef, Aste, Tomaso, Di Matteo, T. and Liu, Ruipeng 2012, Understanding the source of multifractality in financial markets, Physica A: Statistical Mechanics and its Applications, vol. 391, no. 17, pp. 4234-4251.

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Title Understanding the source of multifractality in financial markets
Author(s) Barunik, Jozef
Aste, Tomaso
Di Matteo, T.
Liu, Ruipeng
Journal name Physica A: Statistical Mechanics and its Applications
Volume number 391
Issue number 17
Start page 4234
End page 4251
Total pages 18
Publisher Elsevier BV * North-Holland
Place of publication Amsterdam, Netherlands
Publication date 2012-09-01
ISSN 0378-4371
Keyword(s) Multifractality
Hurst exponent
financial markets
Language eng
Field of Research 150202 Financial Econometrics
Socio Economic Objective 900199 Financial Services not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2012, Elsevier B.V. All rights reserved.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30046094

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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Created: Mon, 09 Jul 2012, 13:51:47 EST by Aysun Alpyurek