| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481062 | Physica A: Statistical Mechanics and its Applications | 2012 | 10 Pages |
Abstract
⺠We research the multifractality of the RV and RBV series in the SSECI. ⺠The volatility series have significant multifractal properties. ⺠The long memory and the fat-tailed distribution are the two sources of multifractality. ⺠The long memory weakens when sampling intervals increase. ⺠The strength of multifractality is insensitive to the sampling frequency.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Jia Zhanliang, Cui Meilan, Li Handong,