SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Long range dependence in financial markets
16 references·10 citing·34 second hop
Long range dependence in financial markets (2005)Long range dependence in financial marketsStochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…The variation of certain speculative prices (1997)The variation of certain spec…Fractals and Scaling in Finance (1997)Fractals and Scaling in Finan…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…A long memory property of stock market returns and a new model (1993)A long memory property of sto…ARCH modeling in finance (1992)ARCH modeling in financeLong-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…What Moves Stock Prices? (1988)What Moves Stock Prices?Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Long memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Rough Volatility: Fact or Artefact? (2024)Rough Volatility: Fact or Art…Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs (2023)Return and volatility propert…Forecasting with fractional Brownian motion: a financial perspective (2022)Forecasting with fractional B…High frequency trading strategies, market fragility and price spikes: an agent based model perspective (2018)High frequency trading strate…Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (2017)Correction to Black--Scholes …Spatio-temporal modeling of financial maps from a joint multidimensional scaling-geostatistical perspective (2016)Spatio-temporal modeling of f…The pricing of credit default swaps under a generalized mixed fractional Brownian motion (2014)The pricing of credit default…Benoît Mandelbrot and Fractional Brownian Motion (2013)Benoît Mandelbrot and Fractio…Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model (2009)Donsker Type Theorem for the …Forecasting volatility: Evidence from the Macedonian stock exchange (2007)Forecasting volatility: Evide…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)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)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Long memory and regime switching (2001)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1980Long memory relationships and the aggregation of dynamic models1,448 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1997Fractals and Scaling in Finance1,299 cited
  • 1988

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

What Moves Stock Prices?
1,255 cited

Cited by

  • 2023Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs59 cited
  • 2018High frequency trading strategies, market fragility and price spikes: an agent based model perspective58 cited
  • 2017Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility46 cited
  • 2022Forecasting with fractional Brownian motion: a financial perspective38 cited
  • 2009Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model38 cited
  • 2024Rough Volatility: Fact or Artefact?35 cited
  • 2014The pricing of credit default swaps under a generalized mixed fractional Brownian motion34 cited
  • 2013Benoît Mandelbrot and Fractional Brownian Motion34 cited
  • 2007Forecasting volatility: Evidence from the Macedonian stock exchange32 cited
  • 2016Spatio-temporal modeling of financial maps from a joint multidimensional scaling-geostatistical perspective26 cited