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Evidence of Self-Organization in Time Series of Capital Markets. (2017). , Leopoldo ; Garc, Alba Lucero ; Morales-Matamoros, Oswaldo ; Soto-Campos, Carlos Arturo .
In: Papers.
RePEc:arx:papers:1604.03996.

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  8. Multifractal detrended cross-correlation analysis on gold, crude oil and foreign exchange rate time series. (2014). Rao, Madhusudana P. ; Manimaran, P. ; Pal, Mayukha .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:416:y:2014:i:c:p:452-460.

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  9. US stock market efficiency over weekly, monthly, quarterly and yearly time scales. (2014). Rodriguez, E. ; Femat, R. ; Aguilar-Cornejo, M. ; Alvarez-Ramirez, J..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:413:y:2014:i:c:p:554-564.

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  10. Stable distribution and long-range correlation of Brent crude oil market. (2014). Huang, Wei-qiang ; Yuan, Ying ; Jin, Xiu ; Zhuang, Xin-Tian .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:413:y:2014:i:c:p:173-179.

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  11. Testing the weak-form efficiency of the WTI crude oil futures market. (2014). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Xie, Wen-Jie.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:405:y:2014:i:c:p:235-244.

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  12. Multifractality of sectoral price indices: Hurst signature analysis of Cantillon effects in disequilibrium factor markets. (2014). Mulligan, Robert F..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:403:y:2014:i:c:p:252-264.

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  13. The role of fluctuating modes of autocorrelation in crude oil prices. (2014). An, Haizhong ; Ding, Yinghui ; Huang, Xuan ; Gao, Xiangyun ; Fang, Wei.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:393:y:2014:i:c:p:382-390.

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  14. Finite sample properties of power-law cross-correlations estimators. (2014). Krištoufek, Ladislav.
    In: Papers.
    RePEc:arx:papers:1409.6857.

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  15. Correlation structure and principal components in global crude oil market. (2014). Jiang, George J. ; Dai, Yue-Hua ; Xie, Wen-Jie ; Zhou, Wei-Xing.
    In: Papers.
    RePEc:arx:papers:1405.5000.

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  16. Are European equity markets efficient? New evidence from fractal analysis. (2014). Onali, Enrico ; Goddard, John.
    In: Papers.
    RePEc:arx:papers:1402.1440.

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  17. Self-affinity in financial asset returns. (2014). Onali, Enrico ; Goddard, John.
    In: Papers.
    RePEc:arx:papers:1401.7170.

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  18. Hurst exponent footprints from activities on a large structural system. (2013). Farrell, Aidan ; Pakrashi, Vikram ; Harkin, Julie ; Kelly, Joe.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:8:p:1803-1817.

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  19. Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm. (2013). Gu, Rongbao ; Dang, Yaoguo ; Zhou, Weijie .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:6:p:1429-1438.

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  20. Mixed-correlated ARFIMA processes for power-law cross-correlations. (2013). Krištoufek, Ladislav ; Kristoufek, Ladislav.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:24:p:6484-6493.

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  21. Modeling natural gas market volatility using GARCH with different distributions. (2013). Lv, Xiaodong, ; Shan, Xian .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:22:p:5685-5699.

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  22. Measuring capital market efficiency: Global and local correlations structure. (2013). Vošvrda, Miloslav ; Krištoufek, Ladislav ; Kristoufek, Ladislav ; Vosvrda, Miloslav .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:1:p:184-193.

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  23. Mixed-correlated ARFIMA processes for power-law cross-correlations. (2013). Krištoufek, Ladislav.
    In: Papers.
    RePEc:arx:papers:1307.6046.

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  24. Cross-correlations between agricultural commodity futures markets in the US and China. (2012). Lu, Xinsheng ; Li, Zhihui.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:15:p:3930-3941.

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  25. A Monte Carlo simulation to the performance of the R/S and V/S methods—Statistical revisit and real world application. (2012). He, Ling-Yun ; Qian, Wen-Bin .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:14:p:3770-3782.

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  26. What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications. (2012). Wang, Yudong ; Wu, Chongfeng.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:2:p:349-360.

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  27. Testing the weak-form efficiency of the WTI crude oil futures market. (2012). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Xie, Wen-Jie.
    In: Papers.
    RePEc:arx:papers:1211.4686.

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  28. Measuring capital market efficiency: Global and local correlations structure. (2012). Vošvrda, Miloslav ; Krištoufek, Ladislav ; Kristoufek, Ladislav ; Vosvrda, Miloslav .
    In: Papers.
    RePEc:arx:papers:1208.1298.

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  29. Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant. (2011). Zhou, Wei-Xing ; Ruan, Yong-Ping .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:9:p:1646-1654.

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  30. Multifractal analysis of the Korean agricultural market. (2011). Oh, Gabjin ; Kim, Seunghwan .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:23:p:4286-4292.

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  31. A copula–multifractal volatility hedging model for CSI 300 index futures. (2011). Wang, Yudong ; Huang, Dengshi ; Wei, YU.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:23:p:4260-4272.

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  32. A study of correlations between crude oil spot and futures markets: A rolling sample test. (2011). Wan, Jieqiu ; Liu, LI.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:21:p:3754-3766.

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  33. Multifractal detrending moving average analysis on the US Dollar exchange rates. (2011). Wang, Yudong ; Wu, Chongfeng ; Pan, Zhiyuan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:20:p:3512-3523.

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  34. Forecasting volatility in Shanghai and Shenzhen markets based on multifractal analysis. (2011). Wu, Chongfeng ; Chen, Hongtao .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:16:p:2926-2935.

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  35. Are European equity markets efficient? New evidence from fractal analysis. (2011). Onali, Enrico ; Goddard, John.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:20:y:2011:i:2:p:59-67.

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  36. Multiscale entropy analysis of crude oil price dynamics. (2011). Rodriguez, Eduardo ; Escarela-Perez, Rafael ; Alvarez-Ramirez, Jose ; Martina, Esteban .
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:5:p:936-947.

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  37. Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets. (2010). He, Ling-Yun ; Chen, Shu-Peng .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:7:p:1434-1444.

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  38. Are developed and emerging agricultural futures markets multifractal? A comparative perspective. (2010). He, Ling-Yun ; Chen, Shu-Peng .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:18:p:3828-3836.

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  39. Are crude oil markets multifractal? Evidence from MF-DFA and MF-SSA perspectives. (2010). He, Ling-Yun ; Chen, Shu-Peng .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:16:p:3218-3229.

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  40. Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis. (2010). Wang, Yudong ; Chen, Hongtao ; Gu, Rongbao .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:14:p:2805-2815.

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  41. Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models. (2010). Mabrouk, Samir ; Aloui, Chaker.
    In: Energy Policy.
    RePEc:eee:enepol:v:38:y:2010:i:5:p:2326-2339.

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  42. Crude oil market efficiency and modeling: Insights from the multiscaling autocorrelation pattern. (2010). Alvarez, Jesus ; Solis, Ricardo ; Alvarez-Ramirez, Jose .
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:5:p:993-1000.

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  43. Is WTI crude oil market becoming weakly efficient over time?: New evidence from multiscale analysis based on detrended fluctuation analysis. (2010). Wang, Yudong ; Liu, LI.
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:5:p:987-992.

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  44. The efficiency of the crude oil markets: Evidence from variance ratio tests. (2009). Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
    In: Post-Print.
    RePEc:hal:journl:hal-00771081.

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  45. Unifractality and multifractality in the Italian stock market. (2009). Onali, Enrico ; Goddard, John.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:4:p:154-163.

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  46. The efficiency of the crude oil markets: Evidence from variance ratio tests. (2009). Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
    In: Energy Policy.
    RePEc:eee:enepol:v:37:y:2009:i:11:p:4267-4272.

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  47. Multifractal analysis of Chinese stock volatilities based on the partition function approach. (2008). Zhou, Wei-Xing ; Jiang, Zhi-Qiang.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:19:p:4881-4888.

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  48. Short-term predictability of crude oil markets: A detrended fluctuation analysis approach. (2008). Rodriguez, Eduardo ; Alvarez-Ramirez, Jose .
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:5:p:2645-2656.

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  49. A generalized pattern matching approach for multi-step prediction of crude oil price. (2008). Wei, Yi-Ming ; Liang, Qiang ; Fan, Ying.
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:3:p:889-904.

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  50. Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility. (2007). Tabak, Benjamin ; Cajueiro, Daniel.
    In: Energy Economics.
    RePEc:eee:eneeco:v:29:y:2007:i:1:p:28-36.

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