Journal ArticleOPEN ACCESS

Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from the WAEMU Market Index

  • Diallo O
  • Mendy P
World Journal of Applied Economics (2019) 5(1) 1-23
DOI: 10.22440/wjae.5.1.1
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Abstract

… significantly long-range dependence (LRD) and mul- tifractality indicating that some conventional models such as GARCH and EGARCH cannot be … the MF-DFA method allows to avoid spurious detection of correlation that are artefacts of the non-stationarity stock market index …

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Diallo, O. K., & Mendy, P. (2019). Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from the WAEMU Market Index. World Journal of Applied Economics, 5(1), 1–23. https://doi.org/10.22440/wjae.5.1.1

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