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Reaction to extreme events in a minimal agent based model

Zaccaria, Andrea; Cristelli, Matthieu; Pietronero, Luciano - In: Econophysics of systemic risk and network dynamics : …, (pp. 133-140). 2013

Persistent link: https://www.econbiz.de/10010211860

Study of statistical correlations in intraday and daily financial return time series

Tilak, Gayatri; Széll, Tamás; Chicheportiche, Rémy; … - In: Econophysics of systemic risk and network dynamics : …, (pp. 77-104). 2013

Persistent link: https://www.econbiz.de/10010211864

Intraday volatility and scaling in high frequency foreign exchange markets

Seemann, Lars; McCauley, Joseph L.; Gunaratne, Gemunu H. - In: International review of financial analysis 20 (2011) 3, pp. 121-126

Persistent link: https://www.econbiz.de/10009295805

Dynamics of quote and deal prices in the foreign exchange market

Ohnishi, Takaaki; Takayasu, Hideki; Itō, Takatoshi; … - In: Journal of economic interaction and coordination : JEIC 3 (2008) 1, pp. 99-106

Persistent link: https://www.econbiz.de/10003715870

The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility

Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210

Persistent link: https://www.econbiz.de/10003675695

Quantifying and understanding the economics of large financial movements

Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki - In: Journal of economic dynamics & control 32 (2008) 1, pp. 303-319

Persistent link: https://www.econbiz.de/10003622800

Fluctuations in foreign exchange markets

Aiba, Yukihiro; Hatano, Naomichi - In: Econophysics and sociophysics : trends and perspectives, (pp. 219-247). 2006

Persistent link: https://www.econbiz.de/10003388166

Investigating efficiency of frontier stock markets using multifractal detrended fluctuation analysis

Aslam, Faheem; Ferreira, Paulo; Mohti, Wahbeeah - In: International journal of emerging markets 18 (2023) 7, pp. 1650-1676

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Estimating Volatility of German Dax From Econometric and Econophysics Perspectives

Pulickal, Jose Paul - 2020

Investors recently are really concerned about the risk aspects associated with the investment in securities. Volatility … used to forecast volatility. One such model is the different variants of the Econometric model. Along with it the use of … Econophysics methods is also helpful for the same. Understanding a better model of the forecast is what investors are looking …

Persistent link: https://www.econbiz.de/10012829626

A global economic policy uncertainty index from principal component analysis

Dai, Peng-Fei; Xiong, Xiong; Zhou, Wei-Xing - In: Finance research letters 40 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012819228