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Long-range behaviour and correlation in DFA and DCCA analysis of cryptocurrencies
Costa, Natália; Silva, César; Ferreira, Paulo - In: International Journal of Financial Studies : open … 7 (2019) 3/51, pp. 1-12
In recent years, increasing attention has been devoted to cryptocurrencies, owing to their great development and … valorization. In this study, we propose to analyse four of the major cryptocurrencies, based on their market capitalization and … evidence of persistence. When correlating Bitcoin with the other cryptocurrencies under analysis, we find that for short time …
Persistent link: https://www.econbiz.de/10012150298
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Efficiency of the Brazilian Bitcoin: A DFA approach
Quintino, Derick; Campoli, Jéssica Suarez; Burnquist, … - In: International Journal of Financial Studies 8 (2020) 2, pp. 1-9
efficiency of cryptocurrency markets, considering their prices and volatility. The purpose of this paper is to contribute to this …
Persistent link: https://www.econbiz.de/10013200272
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An inflation expectations horserace
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2010
For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...
Persistent link: https://www.econbiz.de/10009647457
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Efficiency of the Brazilian Bitcoin : a DFA approach
Quintino, Derick; Campoli, Jéssica Suarez; Burnquist, … - In: International Journal of Financial Studies : open … 8 (2020) 2/25, pp. 1-9
efficiency of cryptocurrency markets, considering their prices and volatility. The purpose of this paper is to contribute to this …
Persistent link: https://www.econbiz.de/10012239310
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Portuguese and Brazilian stock market integration : a non-linear and detrended approach
Ferreira, Paulo - In: Portuguese economic journal 16 (2017) 1, pp. 49-63
Persistent link: https://www.econbiz.de/10011900471
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Strong anticipation and long-range cross-correlation: Application of detrended cross-correlation analysis to human behavioral data
Delignières, Didier; Marmelat, Vivien - In: Physica A: Statistical Mechanics and its Applications 394 (2014) C, pp. 47-60
In this paper, we analyze empirical data, accounting for coordination processes between complex systems (bimanual coordination, interpersonal coordination, and synchronization with a fractal metronome), by using a recently proposed method: detrended cross-correlation analysis (DCCA). This work...
Persistent link: https://www.econbiz.de/10010719739
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Correlations and cross-correlations in the Brazilian agrarian commodities and stocks
Siqueira, Erinaldo Leite; Stošić, Tatijana; Bejan, Lucian - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 14, pp. 2739-2743
We investigate the auto-correlations and cross-correlations of the volatility time series in the Brazilian stock and commodity market, using the recently introduced Detrended Cross-Correlation Analysis. We find that the auto-correlations in stock volatilities are weaker than the...
Persistent link: https://www.econbiz.de/10011059479
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Forecasting volatility in European stock markets with non-linear GARCH models
Forte, Gianfranco; Manera, Matteo - 2002
This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...
Persistent link: https://www.econbiz.de/10011335762
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Is there a Friday the 13th Effect in Emerging Asian Stock Markets?
Auer, Benjamin R.; Rottmann, Horst - 2013
In this article, we revisit the Friday the 13th effect discussed by Kolb and Rodriguez (1987) that has received increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this superstitious calendar day has significant impact on the...
Persistent link: https://www.econbiz.de/10010323003
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Is there a Friday the 13th effect in ermerging Asian stock markets?
Auer, Benjamin R.; Rottmann, Horst - 2013
In this article, we revisit the Friday the 13th effect discussed by Kolb and Rodriguez (1987) that has received increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this superstitious calendar day has significant impact on the...
Persistent link: https://www.econbiz.de/10010327774