Are the Scaling Properties of Bull and Bear Markets Identical? Evidence from Oil and Gold Markets
In this study, the scaling properties of the oil and gold return volatilities have been analyzed in the context of bull and bear periods. In the determination of bull and bear turning points, we used the Modified Bry-Boschan Quarterly (MBBQ) algorithm. Results showed that the business cycle phase sh...
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| 第一著者: | |
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| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
MDPI AG
2014-10-01
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| シリーズ: | International Journal of Financial Studies |
| 主題: | |
| オンライン･アクセス: | http://www.mdpi.com/2227-7072/2/4/315 |
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