73 citations · 263 across the 11 of their papers we have counts for
Showing q-fin.STShow all
2 papers · 1 filter
q-fin.ST2013★ 49 cited
Multifractality and long memory of a financial index
Pablo Suárez-García, David Gómez-Ullate
In this paper we will try to assess the multifractality displayed by the high-frequency returns of Madrid's Stock Exchange IBEX35 index. A Multifractal Detrended Fluctuation Analys…
q-fin.ST2012★ 11 cited
Scaling, stability and distribution of the high-frequency returns of the IBEX35 index
Pablo Suárez-García, David Gómez-Ullate
In this paper we perform a statistical analysis of the high-frequency returns of the IBEX35 Madrid stock exchange index. We find that its probability distribution seems to be stabl…