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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

Apparent criticality and calibration issues in the Hawkes self-excited point process model : application to high-frequency financial data

Filimonov, Vladimir; Sornette, Didier - 2013

We present a careful analysis of possible issues of the application of the self-excited Hawkes process to high-frequency financial data and carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality index'' n that quantifies the degree of endogeneity...

Persistent link: https://www.econbiz.de/10010257507

The nature of economic turbulence : the power destructing economies, with application to shipping

Goulielmos, Alexandros M. - In: Modern economy 9 (2018) 5, pp. 1023-1044

Persistent link: https://www.econbiz.de/10011872491

The nature of economic turbulence : the power destructing economies, with application to shipping

Goulielmos, Alexander M. - In: Inventi impact: international trade (2018) 4, pp. 230-251

Persistent link: https://www.econbiz.de/10012242556

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

A common component of Fama and French factor variances

Fathi, Masoumeh; Grobys, Klaus; Äijö, Janne - 2025

Persistent link: https://www.econbiz.de/10015359779

A fractal and comparative view of the memory of Bitcoin and S&P 500 returns

Grobys, Klaus - In: Research in international business and finance 66 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014460264

Correlation versus co-fractality : evidence from foreign-exchange-rate variances

Grobys, Klaus - In: International review of financial analysis 86 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014248594

On the stability of stablecoins

Grobys, Klaus; Junttila, Juha; Kolari, James W.; … - In: Journal of empirical finance 64 (2021), pp. 207-223

Persistent link: https://www.econbiz.de/10013259412

Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components

Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas - 2008

bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM … general, the Lognormal MSM models generate "apparent" long memory in good agreement with empirical scaling provided one uses …

Persistent link: https://www.econbiz.de/10010273174