Multifractal Behaviour in Natural Gas Prices by using MF-DFA and WTMM Methods

Multifractal Behaviour in Natural Gas Prices by using MF-DFA and WTMM Methods

Article ID

C: FINANCE14J36

Multifractal Behaviour in Natural Gas Prices by using MF-DFA and WTMM Methods

Cumhur Tas Yeditepe University

Dr. Gazanfer Aonal

DOI

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Abstract

We make a comparative study of Multifractal Detrended Fluctuation Analysis (MF-DFA) and the Wavelet Transform Modulus Maxima (WTMM) method to detect multifractal character of natural gas daily returns. We give a brief introduction on above methods and compare their effectiveness. The results from this methodoligies show that behaviour of natural gas daily returns were multifractal. The major sources of multifractality are long-range correlations of small and large fluctuations and Fat-tail distributions of the series.

Multifractal Behaviour in Natural Gas Prices by using MF-DFA and WTMM Methods

Authors

Cumhur Tas Yeditepe University

Dr. Gazanfer Aonal

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How to Cite

Cumhur Tas. 2013. “. Global Journal of Management and Business Research – C: Finance GJMBR-C Volume 13 (GJMBR Volume 13 Issue C11): .

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

GJMBR Volume 13 Issue C11
Pg. 1- 5

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Submission Received December 16, 2012
Accepted January 3, 2013
Published January 15, 2013

Keywords

MF-DFA multifractal Natural Gas WTMM

Article Matrices

Total Score: 107

Country: Turkey

Subject: Global Journal of Management and Business Research - C: Finance

Authors: Cumhur Tas, Dr. Gazanfer Aonal (PhD/Dr. count: 1)

View Count (all-time): 100

Total Views (Real + Logic): 4481

Total Downloads (simulated): 2444

Publish Date: 2013 12, Thu

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Total Views: 4481

Total Downloads: 2444

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