2022
DOI: 10.1016/j.chaos.2022.112052
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Multifractal risk measures by Macroeconophysics perspective: The case of Brazilian inflation dynamics

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Cited by 30 publications
(15 citation statements)
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“…Other articles by the authors, see: [30,31,32,33,34,35,36,37,38,39,40,41,42,43,44,45,46,47,48,49,50,51,52,53,54]…”
Section: Discussionmentioning
confidence: 99%
“…Other articles by the authors, see: [30,31,32,33,34,35,36,37,38,39,40,41,42,43,44,45,46,47,48,49,50,51,52,53,54]…”
Section: Discussionmentioning
confidence: 99%
“…Cross-correlations analysis is a hot topic in the most distinct areas of science [22,23,24,8,25,26]. Cross-correlations analysis is a hot topic in the most distinct areas of science.…”
Section: Methodology 321 Multifractal Detrended Cross-correlation Ana...mentioning
confidence: 99%
“…Also, we use the multifractal risk cross-correlation (MRCC) measure Fernandes et al (2022f) to investigate the relation between the 𝑊 𝑥𝑦 (width of the spectrum) and the 𝛼 𝑥𝑦 (0) (persistence or anti-persistence). We can calculate The MRCC as:…”
Section: Methodology 221 Multifractal Detrended Cross-correlation Ana...mentioning
confidence: 99%