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Predictability and herding of bourse volatility : an econophysics analogue
Ghosh, Bikramaditya; Krishna, Mysore Chidambareswaran; … - In: Investment management and financial innovations 15 (2018) 2, pp. 317-326
Persistent link: https://www.econbiz.de/10012055468
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Use of unit root methods in early warning of financial crises
Virtanen, Timo; Tölö, Eero; Virén, Matti E. E.; … - 2017
In several recent studies unit root methods have been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price bubble. We provide cross-country evidence for...
Persistent link: https://www.econbiz.de/10011976947
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Herding, a-synchronous updating and heterogeneity in memory in a CBS
Diks, Cees G. H.; Weide, Roy van der - 2003
explicit nature of the dynamics of the CBS we show that the introduction of herding modifies the random walk to an ARIMA($0 …
Persistent link: https://www.econbiz.de/10011334332
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Dynamic herding behavior in pacific-basin markets : evidence and implications
Chiang, Thomas C.; Li, Jiandong; Lin Tan; Nelling, Edward - In: Multinational finance journal : MF ; quarterly … 17 (2013) 3/4, pp. 165-200
Persistent link: https://www.econbiz.de/10011457676
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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
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Improving time series forecasting using elephant herd optimization with feature selection methods
Das, Soumya; Mishra, Sarojananda; Senapati, ManasRanjan - In: Journal of management analytics 8 (2021) 1, pp. 113-133
Persistent link: https://www.econbiz.de/10012440092
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Unveiling the relation between herding and liquidity with trader lead-lag networks
Campajola, Carlo; Lillo, Fabrizio; Tantari, Daniele - In: Quantitative finance 20 (2020) 11, pp. 1765-1778
Persistent link: https://www.econbiz.de/10012313511
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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
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Revisiting Reinhart & Rogoff after the crisis : a time series perspective
Amann, Jurgen; Middleditch, Paul - 2015
Persistent link: https://www.econbiz.de/10011311235
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Financial contagion and the TIR-MIDAS model
Ye, Wuyi; Jiang, Kunliang; Liu, Xiaoquan - In: Finance research letters 39 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012805210