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Samet Gunay and Audil Rashid Khaki
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Samet Gunay and Bojan Georgievski
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Samet Günay
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and...
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Samet Günay
Pág. 515 - 522
In this study, the parameters of chaos are analyzed for the leading emerging stock markets: Brazil, Russia, India, China, and Turkey (BRIC-T). As chaos has properties such as nonlinearity, sensitivity to initial conditions, and fractality, we performed d...
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Samet Gunay
In this study, we analyzed the multifractality and the source of multifractality of the returns of GBP/USD, EUR/USD, USD/JPY and USD/CHF currencies. In the examination of multifractality we performed the Multifractal Detrended Fluctuation Analysis (MF-DF...
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