Multifractal characterization of Brazilian market sectors
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DOI: 10.1016/j.physa.2019.03.092
Abstract: Abstract We study auto correlations and cross correlations of daily price returns for seven Brazilian market (Bovespa) sectors using multifractal detrended fluctuation analysis (MF-DFA) and multifractal detrended cross correlation analysis (MF-DXA). We discover rather distinct… read more here.
Keywords: cross correlations; brazilian market; market sectors; sectors multifractal ... See more keywords