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Identification and forecasting of bull and bear markets using multivariate returns

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Modeling realized covariances and returns

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A multivariate GARCH-jump mixture model

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Institutional investor trading in a short investment horizon : evidence from the Korean stock market

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Detecting the lead-lag effect in stock markets : definition, patterns, and investment strategies

Li, Yongli; Wang, Tianchen; Sun, Baiqing; Liu, Chao - In: Financial innovation : FIN 8 (2022), pp. 1-36

Human activities widely exhibit a power-law distribution. Considering stock trading as a typical human activity in the financial domain, the first aim of this paper is to validate whether the well-known power-law distribution can be observed in this activity. Interestingly, this paper determines...

Persistent link: https://www.econbiz.de/10013272642