MULTIFRACTAL BEHAVIOUR IN OIL PRICES BY USING MF-DFA AND WTMM METHODS

Year 2013, Volume: 5 Issue: 1, 213 - 224, 01.06.2013

Kemal Ayten Gazanfer Ünal

Abstract

This study analyses the multifractal properties of the most prominent oil-related
derivative which is ‘‘WTI’’ since the West Texas Intermediate grade of crude oil
for delivery at Cushing, Oklahoma. To be able to test multifractality of the WTI
prices, we used two different methodologies which are multifractal detrended
fluctuation analysis (MF - DFA) and wavelet transform modulus maxima
(WTMM).

Keywords

Multifractal , MF-DFA , WTMM , Oil Price , WTI

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