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

Name: Multifractal behavior in precious metals: wavelet coherency and forecasting by varima and v-farima models
Author: Doğangün, Itır, Ünal, G.

İsim	Multifractal behavior in precious metals: wavelet coherency and forecasting by varima and v-farima models
Yazar	Doğangün, Itır, Ünal, G.
Basım Tarihi:	2019-06
Basım Yeri	- World Scientific Publishing Co Pte Lt
Konu	Gold, Platinum, MF-DFA, Co-movement, Wavelet coherence, Vector FARIMA, VARIMA
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	2010-4952
Kayıt Numarası	fd416b9b-3561-42a9-8404-4b13b86acd4e
Lokasyon	Hotel Management
Tarih	2019-06
Örnek Metin	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

Yazar Doğangün, Itır, Ünal, G.

Basım Tarihi 2019-06

Basım Yeri - World Scientific Publishing Co Pte Lt

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

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 2010-4952

Kayıt Numarası fd416b9b-3561-42a9-8404-4b13b86acd4e

Lokasyon Hotel Management

Tarih 2019-06

Örnek Metin 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