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A practical algorithm to detect superexponential behavior in financial asset price returns
Lynch, Christopher; Mestel, Benjamin - In: International journal of theoretical and applied … 25 (2022) 6, pp. 1-22
Persistent link: https://www.econbiz.de/10014235068
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A multifractal model of asset (in)variances
Grobys, Klaus - In: Journal of international financial markets, … 85 (2023), pp. 1-37
Persistent link: https://www.econbiz.de/10014433281
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Tsallis entropy: do the market size and liquidity matter?
Gurdgiev, Constantin; Harte, Gerard - In: Finance research letters 17 (2016), pp. 151-157
Persistent link: https://www.econbiz.de/10011596269
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Science or scientism? : on the momentum illusion
Grobys, Klaus - In: Annals of finance 20 (2024) 4, pp. 479-519
Persistent link: https://www.econbiz.de/10015188762
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Change-point analysis of asset price bubbles with power-law hazard function
Lynch, Christopher; Mestel, Benjamin - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-24
Persistent link: https://www.econbiz.de/10012153466
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Time-varying volatility and the power law distribution of stock returns
Warusawitharana, Missaka - In: Journal of empirical finance 49 (2018), pp. 123-141
Persistent link: https://www.econbiz.de/10012117726