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The effect of the COVID-19 pandemic on multifractals of price returns and trading volume variations of cryptocurrencies

Lahmiri, Salim - In: Decision analytics journal 6 (2023), pp. 1-5

We investigate the multifractal properties of daily price returns and trading volume variations in 35 cryptocurrencies by using the method of wavelet leaders prior and during the COVID-19 pandemic. The obtained results from the analysis of scaling exponent functions and multifractal spectrums...

Persistent link: https://www.econbiz.de/10014505962

Extrem value theory in finance : a survey

Rocco, Marco - In: Journal of economic surveys 28 (2014) 1, pp. 82-108

Persistent link: https://www.econbiz.de/10011293032

Is there long memory in Indian stock market returns? : an empirical search

Hiremath, Gourishankar S.; Kumari, Jyoti - In: Journal of Asia Pacific business 16 (2015) 2, pp. 128-145

Persistent link: https://www.econbiz.de/10011289921

A proposal to boost the profitability of carry trade

Moosa, Imad A.; Burns, Kelly - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-9

Persistent link: https://www.econbiz.de/10010241631

Forecasting yield spreads under crisis-induced multiple breakpoints

Grazzini, Caterina Forti; Guidolin, Massimo - In: Applied economics letters 20 (2013) 16/18, pp. 1656-1664

Persistent link: https://www.econbiz.de/10010222827

A study on market efficiency using data from Shanghai stock exchange and Shenzhen stock exchange

Duan, Guoxi; Tanizaki, Hisashi - 2021

Persistent link: https://www.econbiz.de/10012799610

A study on the level of market efficiency based on CSI 300 and 300 constituent stocks

Duan, Guoxi; Tanizaki, Hisashi - 2021

Persistent link: https://www.econbiz.de/10012799614

Identifying the news in analysts' earnings forecasts revisions : an alternative to the random walk expectation

Pfeiffer, Ray J.; Teitel, Karen; Wahab, Susan; Wahab, … - In: Review of Pacific Basin financial markets and policies 24 (2021) 4, pp. 2150032-1-2150032-42

Persistent link: https://www.econbiz.de/10012805192

Expected lifetime range ratio to find mean reversion : evidence from Indian stock market

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

Persistent link: https://www.econbiz.de/10011905649

Covariance estimation using random permutations

Padmakumari, Lakshmi; Maheswaran, S. - In: International journal of financial engineering 5 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011922956

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