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True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence

Liu, Ruipeng (contributor); Di Matteo, Tiziana (contributor) - 2007

In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov- switching multifractal model (MSM). In order to see how well...

Persistent link: https://www.econbiz.de/10003441222

A look at financial dependencies by means of econophysics and financial economics

Raddant, M.; Di Matteo, Tiziana - In: Journal of economic interaction and coordination 18 (2023) 4, pp. 701-734

Persistent link: https://www.econbiz.de/10014422588

Universalities in the dynamics of cryptocurrencies : stability, scaling and size

Pogudin, Andrey; Chakrabati, Anindya S.; Di Matteo, Tiziana - In: The journal of network theory in finance 5 (2019) 4, pp. 63-95

Persistent link: https://www.econbiz.de/10012489291

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

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

Special issue on the 24th annual workshop on economic science with heterogeneous interacting agents, London, 2019 (WEHIA 2019)

Caccioli, Fabio (ed.); Di Matteo, Tiziana (ed.); … - Workshop on Economic Science with Heterogeneous … - 2022

Persistent link: https://www.econbiz.de/10013271936

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

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

On the statistics of scaling exponents and the multiscaling value at risk

Brandi, Giuseppe; Di Matteo, Tiziana - In: The European journal of finance 28 (2022) 13/15, pp. 1361-1382

Persistent link: https://www.econbiz.de/10013532216

Multiscaling and rough volatility : an empirical investigation

Brandi, Giuseppe; Di Matteo, Tiziana - In: International review of financial analysis 84 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013472729