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Fractal structure in currency futures price dynamics

Author

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  • Hsing Fang
  • Kon S. Lai
  • Michael Lai

Abstract

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Suggested Citation

  • Hsing Fang & Kon S. Lai & Michael Lai, 1994. "Fractal structure in currency futures price dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(2), pages 169-181, April.
  • Handle: RePEc:wly:jfutmk:v:14:y:1994:i:2:p:169-181
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    Cited by:

    1. Assaf, Ata, 2016. "MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008," Research in International Business and Finance, Elsevier, vol. 36(C), pages 222-240.
    2. Marco Corazza & A. G. Malliaris, 2005. "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters,in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 11, pages 151-184 World Scientific Publishing Co. Pte. Ltd..
    3. repec:exl:2manag:v:16:y:2015:i:1:p:7-37 is not listed on IDEAS
    4. Guglielmo Maria Caporale & Luis Gil-Alana, 2012. "Long Memory and Volatility Dynamics in the US Dollar Exchange Rate," Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 105-136, March - J.
    5. Roy Cerqueti & Giulia Rotundo, 2015. "A review of aggregation techniques for agent-based models: understanding the presence of long-term memory," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(4), pages 1693-1717, July.
    6. Flavia BARNA & Ştefana Maria DIMA & Bogdan DIMA & Lucian PAŞCA, 2016. "Fractal Market Hypothesis: The Emergent Financial Markets Case," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 137-150.
    7. repec:wsi:rpbfmp:v:09:y:2006:i:03:n:s0219091506000793 is not listed on IDEAS
    8. Robert Mulligan, 2000. "A fractal analysis of foreign exchange markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 6(1), pages 33-49, February.
    9. repec:kap:iaecre:v:6:y:2000:i:1:p:33-49 is not listed on IDEAS
    10. repec:wsi:afexxx:v:12:y:2017:i:01:n:s2010495217500014 is not listed on IDEAS
    11. John T. Barkoulas & Christopher F. Baum, 1997. "Fractional Differencing Modeling And Forecasting Of Eurocurrency Deposit Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(3), pages 355-372, September.
    12. Carlos P. Barros & Luis A. Gil-Alana & Zhongfei Chen, 2016. "Exchange rate persistence of the Chinese yuan against the US dollar in the NDF market," Empirical Economics, Springer, vol. 51(4), pages 1399-1414, December.
    13. Ata Assaf, 2008. "Long memory in international equity markets: revisited," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(6), pages 433-437.
    14. repec:rss:jnljfe:v1i1p3 is not listed on IDEAS
    15. A. Assaf, 2007. "Fractional integration in the equity markets of MENA region," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 709-723.
    16. Yalama, Abdullah & Celik, Sibel, 2013. "Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market," Economic Modelling, Elsevier, vol. 30(C), pages 67-72.
    17. Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.

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