SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
16 references·0 citing·29 second hop
Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant (2011)Long-term correlations and multifractal n…Modeling bursts and heavy tails in human dynamics (2006)Modeling bursts and heavy tai…The origin of bursts and heavy tails in human dynamics (2005)The origin of bursts and heav…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Effect of trends on detrended fluctuation analysis (2001)Effect of trends on detrended…Detecting long-range correlations with detrended fluctuation analysis (2001)Detecting long-range correlat…Fractional calculus and continuous-time finance II: the waiting-time distribution (2000)Fractional calculus and conti…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Turbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)ESTIMATORS FOR LONG-RANGE DEP…THE MULTIFRACTAL FORMALISM REVISITED WITH WAVELETS (1994)THE MULTIFRACTAL FORMALISM RE…Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method (1993)Multifractal formalism for fr…Wavelets and multifractal formalism for singular signals: Application to turbulence data (1991)Wavelets and multifractal for…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Robustness of the rescaled ra…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …The econometrics of ultra-high frequency data /The econometrics of ultra-hig…The magical number seven, plus or minus two: Some limits on our capacity for processing information. (1956)The Single Server Queue (1983)The magical number seven, plus or minus two: Some limits on our capacity for processing information. (1994)Robust dynamic classes revealed by measuring the response function of a social system (2008)Understanding individual human mobility patterns (2008)Limits of Predictability in Human Mobility (2010)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Continuous Auctions and Insider Trading (1985)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Some long‐run properties of geophysical records (1969)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Tests for Hurst Effect (1987)The variation of certain speculative prices (1997)Long-Term Storage: An Experimental Study. (1966)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Multifractal random walk (2001)Physical approach to complex systems (2012)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Effect of nonstationarities on detrended fluctuation analysis (2002)Cross-correlations between volume change and price change (2009)Wavelet analysis of long-range-dependent traffic (1998)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 2005The origin of bursts and heavy tails in human dynamics2,260 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2001Detecting long-range correlations with detrended fluctuation analysis1,401 cited
  • 2001Effect of trends on detrended fluctuation analysis1,285 cited
  • 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1,189 cited
  • 1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence1,066 cited
  • 1991Wavelets and multifractal formalism for singular signals: Application to turbulence data786 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 2006Modeling bursts and heavy tails in human dynamics674 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 1994THE MULTIFRACTAL FORMALISM REVISITED WITH WAVELETS574 cited
  • 1993Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method

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

564 cited
  • 2000Fractional calculus and continuous-time finance II: the waiting-time distribution520 cited
  • Cited by

    No citing works inside the corpus for this window.