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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

Multifractality in finance : a deep understanding and review of Mandelbrot's MMAR

Maglione, Federico - 2015

Persistent link: https://www.econbiz.de/10011632222

Time-space scaling of financial time series

Kumagai, Yoshiaki - In: Empirical science of financial fluctuations : the …, (pp. [250]-259). 2002

Persistent link: https://www.econbiz.de/10001679496

Intraday volatility and scaling in high frequency foreign exchange markets

Seemann, Lars; McCauley, Joseph L.; Gunaratne, Gemunu H. - In: International review of financial analysis 20 (2011) 3, pp. 121-126

Persistent link: https://www.econbiz.de/10009295805

Mean and variance equation dynamics : time deformation, GARCH, and a robust analysis of the London housing market

Cook, Steve; Watson, Duncan - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 304-318

Persistent link: https://www.econbiz.de/10011960361

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289