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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

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

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

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

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

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...