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, doi: 10.1016/j.physa.2012.03.037.

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Title Understanding the source of multifractality in financial markets
Author(s) Barunik, Jozef
Aste, Tomaso
Di Matteo, T.
Liu, RuipengORCID iD for Liu, Ruipeng orcid.org/0000-0003-4174-6135
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
Place of publication Amsterdam, Netherlands
Publication date 2012-09-01
ISSN 0378-4371
Keyword(s) Multifractality
Hurst exponent
financial markets
Language eng
DOI 10.1016/j.physa.2012.03.037
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
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

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