Multifractal Detrended Flucutation Approach for the ETF in Chinese Market

Hui WANG, Zongfan ZHOU g, Luojie XIANG

Abstract


This paper presents a empirical research based on multifractal detrended flucutation on ETF fund in China. Our analysis exhibits multifractal characteristics for ETF in china, The results show more comprehensive picture of ETF performance appraisal and hence a complement to traditional risk approach.

Key words: Multifractal Detrended Fluctuation Approach;Singularity Exponent; Singularity Spectrum; Etf Fund


Keywords


Multifractal Detrended Fluctuation Approach;Singularity Exponent; Singularity Spectrum; Etf Fund



DOI: http://dx.doi.org/10.3968/j.mse.1913035X20120601.2010

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