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Statistical properties of statistical ensembles of stock returns
Lillo, Fabrizio; Mantegna, Rosario N. - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 405-408
Persistent link: https://www.econbiz.de/10001522895
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Variety of stock returns in normal and extreme market days : the August 1998 crisis
Lillo, Fabrizio; Bonanno, Giovanni; Mantegna, Rosario N. - In: Empirical science of financial fluctuations : the …, (pp. [77]-89). 2002
Persistent link: https://www.econbiz.de/10001679237
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High frequency data analysis in an emerging and a developed market
Palágyi, Zoltán; Kőrösi, Gábor; Mantegna, Rosario N. - In: Empirical science of financial fluctuations : the …, (pp. [102]-109). 2002
Persistent link: https://www.econbiz.de/10001679243
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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