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Testing for Multifractality of Islamic Stock Markets

Saâdaoui, Foued - 2017

Studying the power-law scaling of financial time series is a promising area of econophysics, which has often contributed to the understanding of the intricate features of the global markets. In this article, we examine the multifractality of some financial processes and the underlying formation...

Persistent link: https://www.econbiz.de/10014118350

On the short term stability of financial ARCH price processes

Zumbach, Gilles O. - 2021

For many financial applications, it is important to have reliable and tractable models for the behavior of assets and indexes, for example in risk evaluation. A successful approach is based on ARCH processes, which strike the right balance between statistical properties and ease of computation....

Persistent link: https://www.econbiz.de/10013219250

Time Series Momentum and Market Stability

He, Xue-zhong - 2014

We propose a continuous-time heterogeneous agent model consisting of fundamental, momentum, and contrarian traders to explain the significant time series momentum. We show that the market under-reacts in short-run and over-reacts in long-run when momentum traders dominate the market, which...

Persistent link: https://www.econbiz.de/10013058173

A Bayesian Covariance Graph and Latent Position Model for Multivariate Financial Time Series

Ahelegbey, Daniel Felix - 2020

Current understanding holds that financial contagion is driven mainly by system-wide interconnectedness of institutions. A distinction has been made between systematic and idiosyncratic channels of contagion, with shocks transmitted through the latter expected to be substantially more likely to...

Persistent link: https://www.econbiz.de/10012853236

Analysis of Complex Network Convergence Rate to Stationary Distribution via Spectral Approach

Kalimulina, Elmira Yu - 2022

The paper considers the problem of estimating the rate of convergence to the stationary distribution of complex queuing networks. The paper provides an overview of some well-known approaches to solving such problems: functional inequalities, inequalities for the spectral gap, сoupling method...

Persistent link: https://www.econbiz.de/10013299128

Random and stock-flow models of labour market matching : Swedish evidence

Forslund, Anders (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003449206

Aggregate matching in Spain : time series analysis using cointegration techniques

Gałecka-Burdziak, Ewa - In: Contemporary economics 10 (2016) 1, pp. 5-12

I analyze the matching process in the Spanish labor market from 1994-2005. I use monthly registered unemployment data … queuing model, which is the most relevant description of the labor market matching process in Spain, according to the …

Persistent link: https://www.econbiz.de/10011452859

Aggregate Matching in Spain : Time Series Analysis Using Cointegration Techniques

Gałecka-Burdziak, Ewa - 2016

Persistent link: https://www.econbiz.de/10012994789

Kernel Matching Scheme for Block Bootstrap of Time Series Data

Kim, Tae Yoon; Hwang, Sun Young - 2004

aligning these blocks into a bootstrap sample. Recently, several matching schemes for the block bootstraps have been suggested … to improve its performance by reduction of bias [Bernoulli 4 (1998), 305]. The matching schemes are usually achieved by … aligning with higher likelihood those blocks which match at their ends. The kernel matching scheme we consider here takes some …

Persistent link: https://www.econbiz.de/10014072946

Random and stock-flow models of labour market matching: Swedish evidence

Forslund, Anders; Johansson, Kerstin - 2007

In this paper we estimate aggregate matching functions taking advantage of a rich data base that enables us to compute … observations on the variables in the matching function at (virtually) any frequency to assess the importance of the time … stock-slow matching. Finally, we assess the contribution of labour market programme participants to matching.Our evidence …

Persistent link: https://www.econbiz.de/10010317924