刊名:Physica A: Statistical Mechanics and its Applications
出版年:2017
出版时间:1 February 2017
年:2017
卷:467
期:Complete
页码:11-20
全文大小:837 K
卷排序:467
文摘
The significant multifractality is revealed via MF-DMA. We innovatively consider the contribution of extreme events to multifractality. The advanced ARFIMA-GARCH can capture a moderate fraction of multifractality. More sophisticated models do not necessarily perform better than simple ones in capturing multifractality.