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Forecasting volatility of SSEC in Chinese stock market using multifractal analysis

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  1. Liu, Jing & Ma, Feng & Zhang, Yaojie, 2019. "Forecasting the Chinese stock volatility across global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 466-477.
  2. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
  3. Zhou, Wei-Xing, 2012. "Finite-size effect and the components of multifractality in financial volatility," Chaos, Solitons & Fractals, Elsevier, vol. 45(2), pages 147-155.
  4. Xin-Lan Fu & Xing-Lu Gao & Zheng Shan & Zhi-Qiang Jiang & Wei-Xing Zhou, 2018. "Multifractal characteristics and return predictability in the Chinese stock markets," Papers 1806.07604, arXiv.org.
  5. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(632), A), pages 61-80, Autumn.
  6. Mei, Dexiang & Liu, Jing & Ma, Feng & Chen, Wang, 2017. "Forecasting stock market volatility: Do realized skewness and kurtosis help?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 153-159.
  7. Yuan, Ying & Zhuang, Xin-tian & Jin, Xiu, 2009. "Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(11), pages 2189-2197.
  8. Wang, Qizhen & Zhu, Yingming & Yang, Liansheng & Mul, Remco A.H., 2017. "Coupling detrended fluctuation analysis of Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 337-350.
  9. Ghysels, Eric & Liu, Hanwei, 2017. "Downside Risk in the Chinese Stock Market - Has it Fundamentally Changed?," CEPR Discussion Papers 12180, C.E.P.R. Discussion Papers.
  10. Wei, Yu & Chen, Wang & Lin, Yu, 2013. "Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2163-2174.
  11. Tao, Qizhi & Wei, Yu & Liu, Jiapeng & Zhang, Ting, 2018. "Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 143-153.
  12. Wang, Yi & Sun, Qi & Zhang, Zilu & Chen, Liqing, 2022. "A risk measure of the stock market that is based on multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
  13. Mensi, Walid & Sensoy, Ahmet & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  14. Yuan, Ying & Zhuang, Xin-tian & Liu, Zhi-ying, 2012. "Price–volume multifractal analysis and its application in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3484-3495.
  15. Rupel Nargunam & Ananya Lahiri, 2022. "Persistence in daily returns of stocks with highest market capitalization in the Indian market," Digital Finance, Springer, vol. 4(4), pages 341-374, December.
  16. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
  17. Liu, Zhichao & Ma, Feng & Long, Yujia, 2015. "High and low or close to close prices? Evidence from the multifractal volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 50-61.
  18. Liu, Zhicao & Ye, Yong & Ma, Feng & Liu, Jing, 2017. "Can economic policy uncertainty help to forecast the volatility: A multifractal perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 181-188.
  19. Yuan, Ying & Zhang, Tonghui, 2020. "Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
  20. Mensi, Walid & Lee, Yun-Jung & Vinh Vo, Xuan & Yoon, Seong-Min, 2021. "Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  21. da Silva Filho, Antônio Carlos & Maganini, Natália Diniz & de Almeida, Eduardo Fonseca, 2018. "Multifractal analysis of Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 954-967.
  22. Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
  23. Wang Pu & Yixiang Chen & Feng Ma, 2016. "Forecasting the realized volatility in the Chinese stock market: further evidence," Applied Economics, Taylor & Francis Journals, vol. 48(33), pages 3116-3130, July.
  24. Xun Huang & Huiyue Tang, 2022. "Measuring multi‐volatility states of financial markets based on multifractal clustering model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 422-434, April.
  25. Jia, Zhanliang & Cui, Meilan & Li, Handong, 2012. "Research on the relationship between the multifractality and long memory of realized volatility in the SSECI," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 740-749.
  26. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Upward/downward multifractality and efficiency in metals futures markets: The impacts of financial and oil crises," Resources Policy, Elsevier, vol. 76(C).
  27. Ma, Feng & Wei, Yu & Huang, Dengshi & Chen, Yixiang, 2014. "Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 171-180.
  28. Lahmiri, Salim, 2017. "Modeling and predicting historical volatility in exchange rate markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 387-395.
  29. Gu, Danlei & Huang, Jingjing, 2019. "Multifractal detrended fluctuation analysis on high-frequency SZSE in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 225-235.
  30. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2008. "Multifractal analysis of Chinese stock volatilities based on the partition function approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(19), pages 4881-4888.
  31. Qian, Xi-Yuan & Gu, Gao-Feng & Zhou, Wei-Xing, 2011. "Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4388-4395.
  32. Zhang, Xin & Yang, Liansheng & Zhu, Yingming, 2019. "Analysis of multifractal characterization of Bitcoin market based on multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 973-983.
  33. Trenca Ioan & Plesoianu Anita & Capusan Razvan, 2012. "Multifractal Structure Of Central And Eastern European Foreign Exchange Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 784-790, July.
  34. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 289-300.
  35. Lee, Hojin & Song, Jae Wook & Chang, Woojin, 2016. "Multifractal Value at Risk model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 113-122.
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