Similar Search Results

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

A Markov-switching multifractal approach to forecasting realized volatility

Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism … for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …

Persistent link: https://www.econbiz.de/10009314521

The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility

Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210

Persistent link: https://www.econbiz.de/10003675695

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

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

A robust measure of investor contrarian behaviour

Challet, Damien; Morton de Lachapelle, David - In: Econophysics of systemic risk and network dynamics : …, (pp. 105-118). 2013

Persistent link: https://www.econbiz.de/10010211863

Econophysics of Asset Price, Return and Multiple Expectations

Olkhov, Victor - 2019

disturbances on trade volume disturbances as well as dependence of return on trade volume “return” cause dependence of volatility …

Persistent link: https://www.econbiz.de/10012894518

The econophysics of asset prices, returns and multiple expectations

Olkhov, Victor - In: The journal of network theory in finance 5 (2019) 3, pp. 25-52

Persistent link: https://www.econbiz.de/10012489028

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

Macroeconomic and financial determinants of the volatility of corporate bond returns

Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly journal of finance 5 (2015) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10011414145

1
2
3
4
5
6
7
8
9
10
Next
Last