Multifractal characteristics and return predictability in the Chinese stock markets-Reference-Cited by-同舟云学术

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Multifractal characteristics and return predictability in the Chinese stock markets

Published:2023-03-26 Issue: Volume: Page:
ISSN:0254-5330
Container-title:Annals of Operations Research
language:en
Short-container-title:Ann Oper Res

Author:

Fu Xin-Lan,Gao Xing-Lu,Shan Zheng,Ma Yin-Jie,Jiang Zhi-Qiang^ORCID,Zhou Wei-Xing

Funder

the National Natural Science Foundation of China

the Shanghai Philosophy and Social Science Fund Project

the Program of Shanghai Young Top-notch Talent

the Fundamental Research Funds for the Central Universities

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Decision Sciences

Link

https://link.springer.com/content/pdf/10.1007/s10479-023-05281-x.pdf

Reference78 articles.

1. Bacry, E., Delour, J., & Muzy, J. F. (2001). Multifractal random walk. Physical Review E, 64(2), 026103. https://doi.org/10.1103/PhysRevE.64.026103

2. Batten, J. A., Kinateder, H., & Wagner, N. (2014). Multifractality and value-at-risk forecasting of exchange rates. Physica A: Statistical Mechanics and its Applications, 401, 71–81. https://doi.org/10.1016/j.physa.2014.01.024

3. Bu, R. J., Fu, X., & Jawadi, F. (2019). Does the volatility of volatility risk forecast future stock returns? Journal of International Financial Markets, Institutions and Money, 61, 16–36. https://doi.org/10.1016/j.intfin.2019.02.001

4. Calvet, L., & Fisher, A. (2001). Forecasting multifractal volatility. Journal of Econometrics, 105(1), 27–58. https://doi.org/10.1016/S0304-4076(01)00069-0

5. Calvet, L., & Fisher, A. (2002). Multifractality in asset returns: Theory and evidence. Review of Economics and Statistics, 84(3), 381–406. https://doi.org/10.1162/003465302320259420

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