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Evidence of intraday multifractality in European stock markets during the recent coronavirus (covid-19) outbreak
Aslam, Faheem; Mohti, Wahbeeah; Ferreira, Paulo - In: International Journal of Financial Studies : open … 8 (2020) 2/31, pp. 1-13
This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation...
Persistent link: https://www.econbiz.de/10012239424
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Chaos in G7 stock markets using over one century of data : a note
Tiwari, Aviral Kumar; Gupta, Rangan - In: Research in international business and finance 47 (2019), pp. 304-310
Persistent link: https://www.econbiz.de/10012135738
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Chaos in G7 stock markets using over one century of data : a note
Tiwari, Aviral Kumar; Gupta, Rangan; Bekiros, Stelios - In: Research in international business and finance 49 (2019), pp. 315-321
Persistent link: https://www.econbiz.de/10012136036
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Large-scale empirical study on pairs trading for all possible pairs of stocks listed in the first section of the Tokyo Stock Exchange
Murota, Mitsuaki; Inoue, Jun-ichi - In: Evolutionary and institutional economics review 12 (2015) 1, pp. 61-79
Persistent link: https://www.econbiz.de/10011300172
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Are stock market networks non-fractal? : evidence from New York stock exchange
Zeng, Zhi-Jian; Chi, Xie; Yan, Xin-Guo; Hu, Jue; Mao, Zhou - In: Finance research letters 17 (2016), pp. 97-102
Persistent link: https://www.econbiz.de/10011596242
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Investigating efficiency of frontier stock markets using multifractal detrended fluctuation analysis
Aslam, Faheem; Ferreira, Paulo; Mohti, Wahbeeah - In: International journal of emerging markets 18 (2023) 7, pp. 1650-1676
Persistent link: https://www.econbiz.de/10014333916
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10003849492
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10009559443
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - In: Review of finance : journal of the European Finance … 16 (2012) 1, pp. 31-80
Persistent link: https://www.econbiz.de/10009520608
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10009560379