IDEAS home Printed from https://ideas.repec.org/r/eee/phsmap/v387y2008i7p1585-1592.html

Forecasting volatility of SSEC in Chinese stock market using multifractal analysis

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  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. Xin-Lan Fu & Xing-Lu Gao & Zheng Shan & Yin-Jie Ma & Zhi-Qiang Jiang & Wei-Xing Zhou, 2025. "Multifractal characteristics and return predictability in the Chinese stock markets," Annals of Operations Research, Springer, vol. 352(3), pages 415-440, September.
  4. 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 / Editura Economica, vol. 0(3(632), A), pages 61-80, Autumn.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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).
  12. Chao Liang & Yongan Xu & Zhonglu Chen & Xiafei Li, 2023. "Forecasting China's stock market volatility with shrinkage method: Can Adaptive Lasso select stronger predictors from numerous predictors?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3689-3699, October.
  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. Walid Mensi & Xuan Vinh Vo & Sang Hoon Kang, 2024. "Upward and Downward Multifractality and Efficiency of Chinese and Hong Kong Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3207-3242, December.
  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. 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.
  36. 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.
  37. 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.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.