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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
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Social networks and labour productivity in Europe : an empirical investigation
Di Guilmi, Corrado; Clementi, F.; Di Matteo, Tiziana; … - In: Journal of economic interaction and coordination : JEIC 3 (2008) 1, pp. 43-57
Persistent link: https://www.econbiz.de/10003715676
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Risk diversification : a study of persistence with a filtered correlation-network approach
Musmeci, Nicoló; Aste, Tomaso; Di Matteo, Tiziana - In: The journal of network theory in finance 1 (2015) 1, pp. 77-98
Persistent link: https://www.econbiz.de/10011374578
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Long-term memories of developed and emerging markets : using the scaling analysis to characterize their stage of development
Di Matteo, Tiziana; Aste, T.; Dacorogna, Michel M. - In: Journal of banking & finance 29 (2005) 4, pp. 827-851
Persistent link: https://www.econbiz.de/10002600039
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Introduction to the special issue on the 24th annual workshop on economic science with heterogeneous interacting agents, London, 2019 (WEHIA 2019)
Caccioli, Fabio; Di Matteo, Tiziana; Iori, Giulia; … - In: Journal of economic interaction and coordination 17 (2022) 2, pp. 401-404
Persistent link: https://www.econbiz.de/10013271939
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Systemic liquidity contagion in the European interbank market
Macchiati, Valentina; Brandi, Giuseppe; Di Matteo, Tiziana - In: Journal of economic interaction and coordination 17 (2022) 2, pp. 443-474
Persistent link: https://www.econbiz.de/10013271944
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Financial time series forecasting using empirical mode decomposition and support vector regression
Nava, Noemi; Di Matteo, Tiziana; Aste, Tomaso - In: Risks : open access journal 6 (2018) 1, pp. 1-21
We introduce a multistep-ahead forecasting methodology that combines empirical mode decomposition (EMD) and support vector regression (SVR). This methodology is based on the idea that the forecasting task is simplified by using as input for SVR the time series decomposed with EMD. The outcomes...
Persistent link: https://www.econbiz.de/10011811500
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A cluster driven log-volatility factor model : a deepening on the source of the volatility clustering
Verma, Anshul; Buonocore, R. J.; Di Matteo, Tiziana - In: Quantitative finance 19 (2019) 6, pp. 981-996
Persistent link: https://www.econbiz.de/10012194736
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On the interplay between multiscaling and stock dependence
Buonocore, R. J.; Brandi, Giuseppe; Mantegna, Rosario N.; … - In: Quantitative finance 20 (2020) 1, pp. 133-145
Persistent link: https://www.econbiz.de/10012194859