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...
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Social Sciences Research Society
2013-01-01
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| Series: | International Journal of Economics and Finance Studies |
| Online Access: | http://www.sobiad.org/eJOURNALS/journal_IJEF/archieves/2013_1/Feleknaz-Dilek.pdf |
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doaj-502236cda5a24600b649c0b4a87933b02020-11-24T23:59:34ZengSocial Sciences Research SocietyInternational Journal of Economics and Finance Studies1309-80551309-80552013-01-01512013050110MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFAAND WTMM METHODSFeleknaz Dilek TerziDr. Gazanfer ÜnalIn 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 methodswww.sobiad.org/eJOURNALS/journal_IJEF/archieves/2013_1/Feleknaz-Dilek.pdf |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Feleknaz Dilek Terzi Dr. Gazanfer Ünal |
| spellingShingle |
Feleknaz Dilek Terzi Dr. Gazanfer Ünal MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFAAND WTMM METHODS International Journal of Economics and Finance Studies |
| author_facet |
Feleknaz Dilek Terzi Dr. Gazanfer Ünal |
| author_sort |
Feleknaz Dilek Terzi |
| title |
MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFAAND WTMM METHODS |
| title_short |
MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFAAND WTMM METHODS |
| title_full |
MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFAAND WTMM METHODS |
| title_fullStr |
MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFAAND WTMM METHODS |
| title_full_unstemmed |
MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFAAND WTMM METHODS |
| title_sort |
multifractal behaviour in gold prices by using mf-dfaand wtmm methods |
| publisher |
Social Sciences Research Society |
| series |
International Journal of Economics and Finance Studies |
| issn |
1309-8055 1309-8055 |
| publishDate |
2013-01-01 |
| description |
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 |
| url |
http://www.sobiad.org/eJOURNALS/journal_IJEF/archieves/2013_1/Feleknaz-Dilek.pdf |
| work_keys_str_mv |
AT feleknazdilekterzi multifractalbehaviouringoldpricesbyusingmfdfaandwtmmmethods AT drgazanferunal multifractalbehaviouringoldpricesbyusingmfdfaandwtmmmethods |
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