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Scaling by the square-root-of-time rule : an empirical investigation using five market indexes

Cameron, James; Gulati, Chandra M.; Lin, Yan-xia - In: Journal of risk 19 (2016) 2, pp. 61-80

Persistent link: https://www.econbiz.de/10013177083

Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices

Leung, Tim; Zhao, Theodore - In: International journal of financial engineering 9 (2022) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10013188765

Interaction effect of capital controls and macroeconomic policies

Zehri, Chokri - In: Economic papers 41 (2022) 1, pp. 15-33

Persistent link: https://www.econbiz.de/10013190760

Political heterogeneity, subjective optimism, and stock market outcomes

Bonaparte, Yosef; Christie-David, Rohan; Koslowsky, David - In: Applied economics 54 (2022) 13, pp. 1487-1506

Persistent link: https://www.econbiz.de/10012875387

Predicting bitcoin prices : ANN approach

Gopal, Naresh; Senthilkumar, K. S. - In: International journal of electronic finance : IJEF 10 (2020) 1/2, pp. 67-78

Persistent link: https://www.econbiz.de/10012509280

Money laundering risk in developing and transitive economies : analysis of cyclic component of time series

Levchenko, Valentyna; Boyko, Anton; Bozhenko, Victoria; … - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 20 (2019), pp. 492-508

volatility and persistence using the Hurst exponent. We determined the peaks, downturns and duration of the money laundering …

Persistent link: https://www.econbiz.de/10012221542

Interest rate volatility and no-arbitrage affine term structure models

Joslin, Scott; Le, Anh - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7391-7416

Persistent link: https://www.econbiz.de/10012815286

Expectations concordance and stock market volatility : Knightian uncertainty in the year of the pandemic

Frydman, Roman; Mangee, Nicholas - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel … market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market … volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. …

Persistent link: https://www.econbiz.de/10012795039

Running for the exit : distressed selling and endogenous correlation in financial markets

Cont, Rama; Wagalath, Lakshithe - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 718-741

Persistent link: https://www.econbiz.de/10010187675

Does futures speculation destabilize spot prices? : new evidence for commodity markets

Bohl, Martin T.; Stephan, Patrick Maurice - In: Journal of agricultural and applied economics 45 (2013) 4, pp. 595-616

Persistent link: https://www.econbiz.de/10010207641