47 citations · 56 across the 3 of their papers we have counts for
3 papers
q-fin.GN2016★ 3 cited
Long memory and multifractality: A joint test
John Goddard, Enrico Onali
The properties of statistical tests for hypotheses concerning the parameters of the multifractal model of asset returns (MMAR) are investigated, using Monte Carlo techniques. We sh…
q-fin.ST2014★ 47 cited
Are European equity markets efficient? New evidence from fractal analysis
Enrico Onali, John Goddard
Fractal analysis is carried out on the stock market indices of seven European countries and the US. We find evidence of long range dependence in the log return series of the Mibtel…
q-fin.ST2014★ 6 cited
Self-affinity in financial asset returns
John Goddard, Enrico Onali
We test for departures from normal and independent and identically distributed (NIID) returns, when returns under the alternative hypothesis are self-affine. Self-affine returns ar…