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• W2015850520 abstract "Abstract We examine the multifractal properties of the realized volatility (RV) and realized bipower variation (RBV) series in the Shanghai Stock Exchange Composite Index (SSECI) by using the multifractal detrended fluctuation analysis (MF-DFA) method. We find that there exist distinct multifractal characteristics in the volatility series. The contributions of two different types of source of multifractality, namely, fat-tailed probability distributions and nonlinear temporal correlations, are studied. By using the unit root test, we also find the strength of the multifractality of the volatility time series is insensitive to the sampling frequency but that the long memory of these series is sensitive." @default.
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• W2015850520 date "2012-02-01" @default.
• W2015850520 modified "2023-09-28" @default.
• W2015850520 title "Research on the relationship between the multifractality and long memory of realized volatility in the SSECI" @default.
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• W2015850520 doi "https://doi.org/10.1016/j.physa.2011.08.060" @default.
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