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Multifractal behavior in precious metals: wavelet coherency and forecasting by varima and v-farima models

Title	Multifractal behavior in precious metals: wavelet coherency and forecasting by varima and v-farima models
Author	Doğangün, Itır, Ünal, G.
Publication Date:	2019-06
Publication Place	- World Scientific Publishing Co Pte Lt
Subject	Gold, Platinum, MF-DFA, Co-movement, Wavelet coherence, Vector FARIMA, VARIMA
Type	Periodical
Language	English
Digital	Yes
Manuscript	No
Library:	Özyeğin University
Library Asset ID	2010-4952
Record ID	fd416b9b-3561-42a9-8404-4b13b86acd4e
Library Location	Hotel Management
Date	2019-06
Sample Text	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.
DOI	10.1142/S2010495219500064
Cilt	14

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Multifractal behavior in precious metals: wavelet coherency and forecasting by varima and v-farima models

Author Doğangün, Itır, Ünal, G.

Publication Date 2019-06

Publication Place - World Scientific Publishing Co Pte Lt

Subject Gold, Platinum, MF-DFA, Co-movement, Wavelet coherence, Vector FARIMA, VARIMA

Type Periodical

Language English

Digital Yes

Manuscript No

Library Özyeğin University

Library Asset ID 2010-4952

Record ID fd416b9b-3561-42a9-8404-4b13b86acd4e

Library Location Hotel Management

Date 2019-06

Sample Text 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.

DOI 10.1142/S2010495219500064

Cilt 14