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Time-varying long range dependence in energy futures markets

Sensoy, Ahmet; Hacihasanoglu, Erk - In: Energy economics 46 (2014), pp. 318-327

Persistent link: https://www.econbiz.de/10011298582

Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets : an asymmetric multifractal detrended fluctuation analysis

Mensi, Walid; Lee, Yun Jung; Al-Yahyaee, Khamis Hamed; … - In: Finance research letters 31 (2019), pp. 19-25

Persistent link: https://www.econbiz.de/10012420970

One model is not enough : heterogeneity in cryptocurrencies' multifractal profiles

Bariviera, Aurelio Fernández - In: Finance research letters 39 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10012805488

Source of the multifractality in exchange markets : multifractal detrended fluctuations analysis

Günay, Samet - In: Journal of business & economics research 12 (2014) 4, pp. 371-384

Persistent link: https://www.econbiz.de/10010432137

Log-periodic power law and genelized hurst exponent analysis in estimating an asset bubble bursting time

Wątorek, Marcin; Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 3, pp. 49-58

We closely examine and compare two promising techniques helpful in estimating the moment an asset bubble bursts. Namely, the Log-Periodic Power Law model and Generalized Hurst Exponent approaches are considered. Sequential LPPL fitting to empirical financial time series exhibiting evident bubble...

Persistent link: https://www.econbiz.de/10011616763

Increasing the information content of realized volatility forecasts

Pascalau, Razvan; Poirier, Ryan - In: Journal of financial econometrics 21 (2023) 4, pp. 1064-1098

Persistent link: https://www.econbiz.de/10014391443

The impact of news sentiment indicators on agricultural product prices

Xu, Jia-Lang; Hsu, Ying-Lin - In: Computational economics 59 (2022) 4, pp. 1645-1657

Persistent link: https://www.econbiz.de/10013262111

Does self-fulfilment of the inflation expectation exist?

Xu, Yingying; Liu, Zhi-Xin; Chang, Hsu-Ling; Dumitrescu … - In: Applied economics 49 (2017) 11, pp. 1098-1113

Persistent link: https://www.econbiz.de/10011811170

Out-of-sample volatility prediction : rolling window, expanding window, or both?

Feng, Yuqing; Zhang, Yaojie; Wang, Yudong - In: Journal of forecasting 43 (2024) 3, pp. 567-582

Persistent link: https://www.econbiz.de/10014532353

Application of Chow, Cusum and rolling window in testing stability of systematic risk of companies listed in WIG-ESG in 2019-2022

Mikołajek-Gocejna, Magdalena - In: Journal of banking and financial economics 20 (2023), pp. 1-29

The aim of the article is to analyze the stability of beta coeffi cients of companies listed in WIG-ESG. There are many studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of the beta coeffi cient for ESG companies. We...

Persistent link: https://www.econbiz.de/10014515083