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

Cumhur Tas; Dr. Gazanfer Aonal

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

Cumhur Tas * §

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Dr. Gazanfer Aonal

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Yeditepe University

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

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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.

References

10 Cites in Article

Reference Format

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W Kantelhardt,S Zschiegner,E Koscienlny-Bunde,S Havlin (2002). Multifractal detrended fluctuation analysis of nonstationary time series.
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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Cumhur Tas, Dr. Gazanfer Aonal. 2013. "Multifractal Behaviour in Natural Gas Prices by using MF-DFA and WTMM Methods". Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 13 (GJMBR Volume 13 Issue C11).

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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

Keywords

MF-DFA multifractal Natural Gas WTMM

Classification

GJMBR-C Classification JEL Code: F39

Submission ReceivedDecember 16, 2012
Peer Review Double Blind
Handling Editor
Accepted January 3, 2013
Published January 15, 2013

Version of record

v1.2

Issue date

December 19, 2013

Language

English

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Article Matrices

Total Score: 154

Country: Turkey

Subject: Global Journal of Management and Business Research

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

View Count (all-time): 389

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Publish Date: 2013 01, Tue

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