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Comparative volatility study on India VIX by GARCH and Shannon's entropy form a behavioural finance viewpoint
Ghosh, Bikramaditya; Nisha, Nabila - In: International journal of applied business and economic … 16 (2018) 2, pp. 317-324
Persistent link: https://www.econbiz.de/10012007315
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Price fluctuations in econophysics
Ulusoy, Tolga - In: Global financial crisis and it's ramifications on …, (pp. 459-474). 2017
Persistent link: https://www.econbiz.de/10011809949
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Volatility models : from GARCH to multi-horizon cascades
Subbotin, Alexander; Chauveau, Thierry; Shapovalova, … - In: Financial markets and the global recession, (pp. 103-159). 2010
Persistent link: https://www.econbiz.de/10009614252
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Model-based and empirical analyses of stochastic fluctuations in economy and finance
Zadourian, Rubina - 2018
Persistent link: https://www.econbiz.de/10011914214
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The application of econophysics : proceedings of the Second Nikkei Econophysics Symposium
Takayasu, Hideki (ed.) - 2004
Persistent link: https://www.econbiz.de/10001795365
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Quantifying reflexivity in financial markets : towards a prediction of flash crashes
Filimonov, Vladimir; Sornette, Didier - 2012
driving. complex systems ; econophysics ; exogenous ; versus endogenous ; high-frequency trading ; criticality ; trading …
Persistent link: https://www.econbiz.de/10009561617
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A Markov-switching multifractal approach to forecasting realized volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011
The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism … for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …
Persistent link: https://www.econbiz.de/10009314521
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Quantifying volatility clustering in financial time series
Tseng, Jie-jun; Li, Sai-ping - In: International review of financial analysis 23 (2012), pp. 11-19
Persistent link: https://www.econbiz.de/10009690145
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Volatility models : from GARCH to multi-horizon cascades
Subbotin, Alexander; Chauveau, Thierry; Shapovalova, … - 2011
Persistent link: https://www.econbiz.de/10009716088