Multifractal behavior in precious metals: wavelet coherency and forecasting by varima and v-farima models
dc.contributor.author | Doğangün, Itır | |
dc.contributor.author | Ünal, G. | |
dc.date.accessioned | 2020-07-08T10:09:17Z | |
dc.date.available | 2020-07-08T10:09:17Z | |
dc.date.issued | 2019-06 | |
dc.identifier.issn | 2010-4952 | en_US |
dc.identifier.uri | http://hdl.handle.net/10679/6732 | |
dc.identifier.uri | https://www.worldscientific.com/doi/10.1142/S2010495219500064 | |
dc.description.abstract | We introduce a new approach to improve the forecasting performance by investigating the multifractal features and the dynamic correlations of return on spot prices of precious metals, namely, gold and platinum. The Holder exponent of multifractal time series is employed to detect the critical fluctuations during the financial crises through measuring the multifractal behavior. We also consider co-movement of Holder exponents and forecast the Holder exponents of multifractal precious metal time series on coherent time periods. The results indicate that forecasting of multiple wavelet coherence of Holder exponents of multifractal precious metal time series is efficiently improved by using Vector FARIMA and VARIMA models. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | World Scientific Publishing Co Pte Lt | en_US |
dc.relation.ispartof | Annals of Financial Economics | |
dc.rights | restrictedAccess | |
dc.title | Multifractal behavior in precious metals: wavelet coherency and forecasting by varima and v-farima models | en_US |
dc.type | Article | en_US |
dc.peerreviewed | yes | en_US |
dc.publicationstatus | Published | en_US |
dc.contributor.department | Özyeğin University | |
dc.contributor.authorID | (ORCID & YÖK ID 266810) Doğangün, Itır | |
dc.contributor.ozuauthor | Doğangün, Itır | |
dc.identifier.volume | 14 | en_US |
dc.identifier.issue | 2 | en_US |
dc.identifier.wos | WOS:000465493400001 | |
dc.identifier.doi | 10.1142/S2010495219500064 | |
dc.subject.keywords | Gold | en_US |
dc.subject.keywords | Platinum | en_US |
dc.subject.keywords | MF-DFA | en_US |
dc.subject.keywords | Co-movement | en_US |
dc.subject.keywords | Wavelet coherence | en_US |
dc.subject.keywords | Vector FARIMA | en_US |
dc.subject.keywords | VARIMA | en_US |
dc.identifier.scopus | SCOPUS:2-s2.0-85121979328 | |
dc.relation.publicationcategory | Article - International Refereed Journal - Institution Academic Staff |
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