Use this url to cite publication: https://cris.mruni.eu/cris/handle/007/33135
Multifraktališkumas ir savastingumas akcijų rinkose
Type of publication
Straipsnis kitame recenzuojamame leidinyje / Article in other peer-reviewed edition (S5)
Author(s)
| Author | Affiliation |
|---|---|
Belovas, Igoris | |
Title
Multifraktališkumas ir savastingumas akcijų rinkose
Other Title
Multiplifractality and self-similarity in stock market
Publisher (trusted)
Technologija |
Date Issued
| Date |
|---|
2006 |
Extent
p. 6-11
Is part of
Matematika ir matematinis modeliavimas / Kauno technologijos universitetas. Kaunas : Technologija, 2006, t. 2.
Abstract (en)
For a long time it has been financial series are the source of self-similar and multifractal phenomena and numerous empirical studies suport that. In this paper, we focus on the analysis of multifractality and self-similarity of daily stock returns of the Baltic States. Multifractality and self-similatity are investigated through the behavior of the absolute moments. The Hurst analysis has been made by the R/S method. It is necessary to implement the mixed model in order to take in account the stagnation effect.
Type of document
type::text::journal::journal article::research article
ISSN (of the container)
1822-2757
eLABa
2756164
Coverage Spatial
Lietuva / Lithuania (LT)
Language
Lietuvių / Lithuanian (lt)
Bibliographic Details
18