Skip navigation
Skip navigation

A Hypothesis Test Method for Detecting Multifractal Scaling, Applied to Bitcoin Prices

Jiang, Chuxuan; dev, priya; Maller, Ross


Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should be established; however, this is not a straightforward task, particularly in the presence of heavy tails. We develop an empirical hypothesis test to identify whether a time series is likely to exhibit multifractal scaling in the presence of heavy tails. The...[Show more]

CollectionsANU Research Publications
Date published: 2020
Type: Journal article
Source: Journal of Risk and Financial Management
DOI: 10.3390/jrfm13050104
Access Rights: Open Access


File Description SizeFormat Image
01_Jiang_A_Hypothesis_Test_Method_for_2020.pdf897.86 kBAdobe PDFThumbnail

This item is licensed under a Creative Commons License Creative Commons

Updated:  17 November 2022/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator