Detecting switching points using asymmetric detrended fluctuation analysis

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 1-2, 2012, Pages 170-179

  Rivera Castro, Miguel A ^a   Miranda, José G V ^a   Cajueiro, Daniel O ^b,c   Andrade, Roberto F S ^a,c  

^a FEDERAL UNIVERSITY OF BAHIA   (Brazil)

^b UNIVERSITY OF BRASILIA   (Brazil)

^c National Institute of Science and Technology for Complex Systems   (Brazil)

Author keywords

Asymmetric fluctuations; Financial series; Local detrended analysis; Switching points

Indexed keywords

FINANCE;

ASYMMETRIC FLUCTUATIONS; DETRENDED FLUCTUATION ANALYSIS; FINANCIAL SERIES; LOCAL DETRENDED ANALYSIS; ROUGHNESS EXPONENT; SWITCHING POINTS;

SWITCHING;

EID: 80054011238     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.07.009     Document Type: Article

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