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Two-class structure of income distribution in the USA : exponential bulk and power-law tail
Yakovenko, Victor M.; Silva, A. Christian - In: Econophysics of wealth distributions : Econophys-Kolkata I, (pp. 15-23). 2005
Persistent link: https://www.econbiz.de/10003153479
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Gibbs distribution of money : a computer simulation
Drăgulescu, Adrian A.; Yakovenko, Victor M. - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 597
Persistent link: https://www.econbiz.de/10001524507
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Physics-inspired analysis of the two-class income distribution in the USA in 1983-2018
Yakovenko, Victor M.; Ludwig, Danial - 2023
Persistent link: https://www.econbiz.de/10014317167
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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