Multifractal Behaviors of Stock Indices and Their Ability to Improve Forecasting in a Volatility Clustering Period
The financial market is a complex system, which has become more complicated due to the sudden impact of the COVID-19 pandemic in 2020. As a result there may be much higher degree of uncertainty and volatility clustering in stock markets. How does this “black swan” event affect the fractal behaviors...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-08-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/23/8/1018 |