Understanding the multifractality in portfolio excess returns
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- 作者：Cheng Chen ; Yudong Wang ; wangyudongnj@126.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：Excess return ; Multifractality ; Portfolios ; MF-DFA ; MF-DCCA
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2017
- 出版时间：15 January 2017
- 年：2017
- 卷：466
- 期：Complete
- 页码：346-355
- 全文大小：1792 K
文摘
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The multifractality in portfolio excess returns has not been considered in the literature.
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The significant multifractality is revealed via MF-DFA.
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The multifractality is mainly attributed to long-range dependence.
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The cross-correlations between portfolio and market returns are multifractal.