Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series

16 references·7 citing·33 second hop

FromToDepth

this work references cited by second hop

References

2018Power-law distributions in empirical data6,499 cited
1963The Variation of Certain Speculative Prices4,851 cited
1997The variation of certain speculative prices4,468 cited
2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
1995Scaling behaviour in the dynamics of an economic index1,754 cited
2001An Introduction to High-Frequency Finance956 cited
2011Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management480 cited
2004Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development430 cited
1998Fractals and Scaling in Finance: Discontinuity, Concentration, Risk418 cited
2004Time-dependent Hurst exponent in financial time series403 cited
2002Multifractality in Asset Returns: Theory and Evidence384 cited
2007Multi-scaling in finance376 cited
2003Scaling behaviors in differently developed markets292 cited
2010On Hurst exponent estimation under heavy-tailed distributions276 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2006Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management246 cited

Cited by

2012Understanding the source of multifractality in financial markets131 cited
2015Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone127 cited
2020Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets112 cited
2012FRACTAL MARKETS HYPOTHESIS AND THE GLOBAL FINANCIAL CRISIS: SCALING, INVESTMENT HORIZONS AND LIQUIDITY105 cited
2014Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy89 cited
2019Multifractal cross-correlations between the world oil and other financial markets in 2012–201787 cited
2014Multifractal analysis of Asian markets during 2007–2008 financial crisis77 cited