Showing 1 - 10 of 5,792
Persistent link: https://www.econbiz.de/10012063553
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
Persistent link: https://www.econbiz.de/10012159372
crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby …, speculators' heterogeneity occasionally vanishes, e.g. due to panic-induced herding behavior, yielding extreme returns. Lasting … regimes with high volatility originate from the fact that speculators extract stronger trading signals out of past stock price …
Persistent link: https://www.econbiz.de/10012257370
Persistent link: https://www.econbiz.de/10012055468
Persistent link: https://www.econbiz.de/10013532181
Persistent link: https://www.econbiz.de/10010359786
Persistent link: https://www.econbiz.de/10010354451
Persistent link: https://www.econbiz.de/10012793054
Persistent link: https://www.econbiz.de/10012244323