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Recurrence interval analysis of financial time series

Zhou, Wei-Xing; Jiang, Zhi-Qiang; Xie, Wen-Jie - 2024

Extreme events are ubiquitous in nature and social society, including natural disasters, accident disasters, crises in public health (such as Ebola and the COVID-19 pandemic), and social security incidents (wars, conflicts, and social unrest). These extreme events will heavily impact financial...

Persistent link: https://www.econbiz.de/10014491224

On the nonstationarity of the exchange rate process

Ohnishi, Takaaki; Takayasu, Hideki; Itō, Takatoshi; … - In: International review of financial analysis 23 (2012), pp. 30-34

Persistent link: https://www.econbiz.de/10009690133

Modeling the impulse response complex network for studying the fluctuation transmission of price indices

Sun, Qingru; Gao, Xiangyun; Wen, Shaobo; Feng, Sida; … - In: Journal of economic interaction and coordination : JEIC 14 (2019) 4, pp. 835-858

Persistent link: https://www.econbiz.de/10012167837

On the time varying nature of herding behaviour: evidence from major European indices

Stavroyiannis, Stavros; Babalos, Vassilios - In: Global business & economics review 17 (2015) 3, pp. 298-309

Persistent link: https://www.econbiz.de/10011498524

Business cycle and herding behavior in stock returns : theory and evidence

Ahn, Kwangwon; Cong, Linxiao; Jang, Hanwool; Kim, … - In: Financial innovation : FIN 10 (2024), pp. 1-14

This study explains the role of economic uncertainty as a bridge between business cycles and investors' herding … the power law exponent are used as proxies for business cycles and herding behavior, respectively. We fnd stronger herding …

Persistent link: https://www.econbiz.de/10014530169

Stochastic common trends and long-run relationships in heterogeneous panels

Hall, Stephen G.; Urga, Giovanni - 1995

Persistent link: https://www.econbiz.de/10000565130

Tests of stochastic dominance for time series data : theory and empirical application

Kläver, Hendrik - 2006

Die vorliegende Arbeit untersucht Tests auf stochastische Dominanz, welche ein grundlegendes Konzept der Entscheidungstheorie ist. Hierbei konzentrieren wir uns auf stochastische Dominanz erster und zweiter Ordnung. Diese sind die beiden wichtigsten Entscheidungsregeln und finden Anwendung in...

Persistent link: https://www.econbiz.de/10003315772

Testing for deterministic and stochastic cycles in macroeconomic time series

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Empirica : journal of european economics 34 (2007) 2, pp. 155-169

Persistent link: https://www.econbiz.de/10003441948

Deterministic versus stochastic seasonal fractional integration and structural breaks

Caporale, Guglielmo Maria (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003428302

Connecting macroeconomic theory to the data : methods and applications

Bäurle, Gregor - 2009

Persistent link: https://www.econbiz.de/10003919869

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