Research on the relationship between the multifractality and long memory of realized volatility in the SSECI

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 3, 2012, Pages 740-749

  Jia, Zhanliang ^a   Cui, Meilan ^a   Li, Handong ^a  

^a BEIJING NORMAL UNIVERSITY   (China)

Author keywords

Long memory; MF DFA; Multifractality; Realized bipower variation; Realized volatility

Indexed keywords

FRACTALS;

BIPOWER VARIATIONS; LONG MEMORY; MF-DFA; MULTIFRACTALITY; REALIZED VOLATILITY;

PROBABILITY DISTRIBUTIONS;

EID: 80455143817     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.08.060     Document Type: Article

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