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Evidence of Multifractality from Emerging European Stock Markets

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Cited by:

  1. Onur Özdemir & Anoop S. Kumar, 2024. "Dynamic Efficiency and Herd Behavior During Pre- and Post-COVID-19 in the NFT Market: Evidence from Multifractal Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 1255-1279, March.
  2. Faheem Aslam & Wahbeeah Mohti & Paulo Ferreira, 2020. "Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak," IJFS, MDPI, vol. 8(2), pages 1-13, May.
  3. Stosic, Dusan & Stosic, Darko & de Mattos Neto, Paulo S.G. & Stosic, Tatijana, 2019. "Multifractal characterization of Brazilian market sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 956-964.
  4. Suárez-García, Pablo & Gómez-Ullate, David, 2014. "Multifractality and long memory of a financial index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 226-234.
  5. Haider Ali & Faheem Aslam & Paulo Ferreira, 2021. "Modeling Dynamic Multifractal Efficiency of US Electricity Market," Energies, MDPI, vol. 14(19), pages 1-16, September.
  6. Samuel T. Ogunjo, 2023. "The impact of the 2007–2008 global financial crisis on the multifractality of the Nigerian Stock Exchange," SN Business & Economics, Springer, vol. 3(1), pages 1-17, January.
  7. Hasan, Rashid & Mohammad, Salim M., 2015. "Multifractal analysis of Asian markets during 2007–2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 746-761.
  8. Dusan Stosic & Darko Stosic & Tatijana Stosic, 2019. "Nonextensive triplets in stock market indices," Papers 1901.07721, arXiv.org.
  9. Pal, Mayukha & Madhusudana Rao, P. & Manimaran, P., 2014. "Multifractal detrended cross-correlation analysis on gold, crude oil and foreign exchange rate time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 452-460.
  10. Charutha, S. & Gopal Krishna, M. & Manimaran, P., 2020. "Multifractal analysis of Indian public sector enterprises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  11. Jianrong Wei & Jiping Huang, 2012. "An Exotic Long-Term Pattern in Stock Price Dynamics," PLOS ONE, Public Library of Science, vol. 7(12), pages 1-5, December.
  12. Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurrum S. & Khan, Maaz, 2020. "On the efficiency of foreign exchange markets in times of the COVID-19 pandemic," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
  13. Gulich, Damián & Zunino, Luciano, 2014. "A criterion for the determination of optimal scaling ranges in DFA and MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 397(C), pages 17-30.
  14. Fernandes, Leonardo H.S. & de Araújo, Fernando H.A. & Silva, Igor E.M., 2020. "The (in)efficiency of NYMEX energy futures: A multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
  15. Schadner, Wolfgang, 2022. "U.S. Politics from a multifractal perspective," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
  16. Stosic, Dusan & Stosic, Darko & Stosic, Tatijana, 2019. "Nonextensive triplets in stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 192-198.
  17. 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.
  18. Suchetana Sadhukhan & Poulomi Sadhukhan, 2022. "Sector-wise analysis of Indian stock market: Long and short-term risk and stability analysis," Papers 2210.09619, arXiv.org.
  19. Caraiani, Petre & Haven, Emmanuel, 2015. "Evidence of multifractality from CEE exchange rates against Euro," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 395-407.
  20. Faheem Aslam & Paulo Ferreira & Haider Ali & Sumera Kauser, 2022. "Herding behavior during the Covid-19 pandemic: a comparison between Asian and European stock markets based on intraday multifractality," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(2), pages 333-359, June.
  21. Kim, Hongseok & Oh, Gabjin & Kim, Seunghwan, 2011. "Multifractal analysis of the Korean agricultural market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4286-4292.
  22. Bhatia, Madhur, 2023. "On the efficiency of the gold returns: An econometric exploration for India, USA and Brazil," Resources Policy, Elsevier, vol. 82(C).
  23. Pablo Su'arez-Garc'ia & David G'omez-Ullate, 2013. "Multifractality and long memory of a financial index," Papers 1306.0490, arXiv.org.
  24. Anghelache, Gabriela Victoria & Kralik, Lorand Istvan & Acatrinei, Marius & Pete, Stefan, 2014. "Influence of the EU Accession Process and the Global Crisis on the CEE Stock Markets: A Multivariate Correlation Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 35-52, June.
  25. Stošić, Dusan & Stošić, Darko & Stošić, Tatijana & Eugene Stanley, H., 2015. "Multifractal properties of price change and volume change of stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 46-51.
  26. 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.
  27. Schadner, Wolfgang, 2021. "On the persistence of market sentiment: A multifractal fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
  28. Laura Raisa Miloş & Cornel Haţiegan & Marius Cristian Miloş & Flavia Mirela Barna & Claudiu Boțoc, 2020. "Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets," Sustainability, MDPI, vol. 12(2), pages 1-15, January.
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