Multifractal detrended cross-correlation analysis on gold, crude oil and foreign exchange rate time series
By M. Pal, P. Rao, P. Manimaran. 2014
80 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Molecular Biology, Statistical and Nonlinear Physics
View Paper: https://www.semanticscholar.org/paper/7626be1937220ae47706c4d04c63928eab51d0b0
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In Economics and Econometrics
In Molecular Biology
In Statistical and Nonlinear Physics
Citations in the corpus
- Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates (2017, background): “But existing papers on the subject focus on the estimate of a piecewise fBm for different market phases without smoothing [2, 31], on describing the long-memory feature of FX time series [15, 46], on estimating a mBm with random Hurst exponents [11] or on the multifractal spectrum [16, 38].”