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Relation between volatility correlations in financial markets and Omori processes occurring on all scales
16 references·1 citing·37 second hop
Relation between volatility correlations in financial markets and Omori processes occurring on all scales (2007)Relation between volatility correlations …Effect of nonstationarities on detrended fluctuation analysis (2002)Effect of nonstationarities o…Effect of trends on detrended fluctuation analysis (2001)Effect of trends on detrended…Statistical properties of the volatility of price fluctuations (1999)Statistical properties of the…Scaling of the distribution of fluctuations of financial market indices (1999)Scaling of the distribution o…Inverse cubic law for the distribution of stock price variations (1998)Inverse cubic law for the dis…The econometrics of financial markets (1996)The econometrics of financial…A long memory property of stock market returns and a new model (1993)A long memory property of sto…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …Stock Prices and Volume (1992)Stock Prices and VolumeARCH modeling in finance (1992)ARCH modeling in financeWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Indication of multiscaling in the volatility return intervals of stock markets (2008)Indication of multiscaling in…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)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)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Detecting long-range correlations with detrended fluctuation analysis (2001)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Cross-correlations between volume change and price change (2009)ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Statistical tests for power-law cross-correlated processes (2011)Multifractal analysis of financial markets: a review (2019)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Bayesian Analysis of Stochastic Volatility Models (2002)Risks and Portfolio Decisions Involving Hedge Funds (2003)Market liquidity as a sentiment indicator (2004)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Scaling of the distribution of price fluctuations of individual companies (1999)Institutional Investors and Stock Market Volatility (2006)Alternative models for conditional stock volatility (1990)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)A Monetary History of the United States, 1867-1960 (2017)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)
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References

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  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
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  • 1999Statistical properties of the volatility of price fluctuations730 cited
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  • 1998Inverse cubic law for the distribution of stock price variations590 cited
  • 1985

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An Investigation of Transactions Data for NYSE Stocks
554 cited

Cited by

  • 2008Indication of multiscaling in the volatility return intervals of stock markets63 cited