MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFAAND WTMM METHODS
In this paper, we investigate the multifractal features of a gold market which isknown as the safe harbour in the faceof political and economic chaos. Weperformed two different methodologieswhich are Multifractal DetrendedFluctuation Analysis (MF-DFA) and the...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Social Sciences Research Society
2013-01-01
|
| Series: | International Journal of Economics and Finance Studies |
| Online Access: | http://www.sobiad.org/eJOURNALS/journal_IJEF/archieves/2013_1/Feleknaz-Dilek.pdf |
| Summary: | In this paper, we investigate the multifractal features of a gold market which isknown as the safe harbour in the faceof political and economic chaos. Weperformed two different methodologieswhich are Multifractal DetrendedFluctuation Analysis (MF-DFA) and the Wavelet Transform Modulus Maxima(WTMM) in order to investigate the multifractality of Gold spot price/ounce.After given some brief introduction,then we explain the particularimplementation of the above methods and compare their effectiveness. Finally, weconclude that gold price series are multifractal by these methods |
|---|---|
| ISSN: | 1309-8055 1309-8055 |