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Source of the multifractality in exchange markets : multifractal detrended fluctuations analysis

Günay, Samet - In: Journal of business & economics research 12 (2014) 4, pp. 371-384

Persistent link: https://www.econbiz.de/10010432137

Multifractality in finance : a deep understanding and review of Mandelbrot's MMAR

Maglione, Federico - 2015

Persistent link: https://www.econbiz.de/10011632222

Time-space scaling of financial time series

Kumagai, Yoshiaki - In: Empirical science of financial fluctuations : the …, (pp. [250]-259). 2002

Persistent link: https://www.econbiz.de/10001679496

Mean and variance equation dynamics : time deformation, GARCH, and a robust analysis of the London housing market

Cook, Steve; Watson, Duncan - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 304-318

Persistent link: https://www.econbiz.de/10011960361

Mean reversion in US and international short rates

Christiansen, Charlotte - In: The North American journal of economics and finance : a … 21 (2010) 3, pp. 286-296

Persistent link: https://www.econbiz.de/10009267822

Can the Lasota (1977)'s model compete with the Mackey-Glass (1977)'s model in nonlinear modelling of financial time series?

Hennani, Rachida - 2015

Persistent link: https://www.econbiz.de/10011300800

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289

Nonlinear and time-varying risk premia

Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012607208

Study on the nonlinear and chaotic behavior of exchange traded funds listed in Hong Kong Stock Exchanges

Chu, Patrick Kuok-Kun - In: The journal of prediction markets 13 (2019) 2, pp. 45-62

Persistent link: https://www.econbiz.de/10012607897

Multifrequency network for SADC exchange rate markets using EEMD-based DCCA

Adam, Anokye M.; Kyei, Kwabena; Moyo, Simiso; Gill, Ryan; … - In: Journal of economics and finance : JEF 46 (2022) 1, pp. 145-166

Persistent link: https://www.econbiz.de/10012795674

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