Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis

The North American Journal of Economics and Finance · 2022 · PMC9293880

Europe PMC

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a negative trendno p-value reported

For gold market, we find a positive value of excess multifractality, indicating that the cross-correlation exponent is higher when the price returns have a positive trend than when it has a negative trend.

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