Yıl 2013, Cilt: 5 Sayı : 1 Sayfalar 44 - 55 2013-06-01
MULTIFRACTAL BEHAVIOUR IN NATURAL GAS PRICES BY USING MF-DFA AND WTMM METHODS
Cumhur TAŞ,Gazanfer ÜNAL
15 261

Öz 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

Anahtar Kelimeler

Natural Gas, Multifractal, MF-DFA, WTMM
B.B. Manderlbrot,The Fractal Geometry ofNature, FreemanWH,New York, 1982.
Birincil Dil
Konular
Yayımlanma Tarihi 1 Haziran 2013
Bölüm Makaleler
Yazarlar
Tarihler

Yayımlanma Tarihi : 1 Haziran 2013


Makalenin Yazarları
Cumhur TAŞ
Gazanfer ÜNAL