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Long-term memories of developed and emerging markets : using the scaling analysis to characterize their stage of development
Di Matteo, Tiziana; Aste, T.; Dacorogna, Michel M. - In: Journal of banking & finance 29 (2005) 4, pp. 827-851
Persistent link: https://www.econbiz.de/10002600039
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Dominating clasp of the financial sector revealed by partial correlation analysis of the stock market
Kenett, Dror Y.; Tumminello, Michele; Madi, Asaf; … - In: Inventi impact: microfinance & banking (2012) 1, pp. 48-61
Persistent link: https://www.econbiz.de/10009623510
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An introduction to econophysics : correlations and complexity in finance
Mantegna, Rosario N.; Stanley, H. Eugene - 2000
Persistent link: https://www.econbiz.de/10001408614
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When financial economics influences physics : the role of Econophysics
Jovanovic, Franck; Mantegna, Rosario N.; Schinckus, … - In: International review of financial analysis 65 (2019), pp. 1-8
Persistent link: https://www.econbiz.de/10012208581
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Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal volatility components
Liu, Ruipeng (contributor); Di Matteo, Tiziana (contributor) - 2008
In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM) with Lognormal volatility components. In order to...
Persistent link: https://www.econbiz.de/10003715073
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Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal volatility components
Liu, Ruipeng (contributor); Di Matteo, Tiziana (contributor) - 2008
In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM) with Lognormal volatility components. In order to...
Persistent link: https://www.econbiz.de/10003721498
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A look at financial dependencies by means of econophysics and financial economics
Raddant, M.; Di Matteo, Tiziana - In: Journal of economic interaction and coordination 18 (2023) 4, pp. 701-734
Persistent link: https://www.econbiz.de/10014422588