Browsing School of Applied Sciences by Subject "MF-DFA"
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Exploring the multifractality in the precious metal market
(World Scientific, 2023-06)This study proposes a novel approach to investigating the multifractality of time series using the multifractal cross-correlation detrended moving average analysis (MF-X-DMA). The study demonstrates the behavioral differences ... -
Multifractal behavior in precious metals: wavelet coherency and forecasting by varima and v-farima models
(World Scientific Publishing Co Pte Lt, 2019-06)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 ...
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