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Scale invariant distribution and multifractality of volatility multipliers in stock markets
16 references·2 citing·36 second hop
Scale invariant distribution and multifractality of volatility multipliers in stock markets (2007)Scale invariant distribution and multifra…Multifractality in stock indexes: Fact or Fiction? (2008)Multifractality in stock inde…Multifractal analysis of Chinese stock volatilities based on the partition function approach (2008)Multifractal analysis of Chin…Scaling, self-similarity and multifractality in FX markets (2003)Scaling, self-similarity and …Multifractal properties of price fluctuations of stocks and commodities (2003)Multifractal properties of pr…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Estimating daily volatility in financial markets utilizing intraday data (2002)Estimating daily volatility i…Multifractal analysis of Hang Seng index in Hong Kong stock market (2001)Multifractal analysis of Hang…Multifractal analysis of foreign exchange data (1999)Multifractal analysis of fore…Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate (1999)Low q-moment multifractal ana…Fractals and Scaling in Finance (1997)Fractals and Scaling in Finan…Turbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…Turbulence and financial markets (1996)Turbulence and financial mark…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…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…Intermittency and scale similarity in the structure of a turbulent plow (1971)Intermittency and scale simil…Joint multifractal analysis based on wavelet leaders (2017)Joint multifractal analysis b…Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory (2013)Measuring daily Value-at-Risk…The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate (2005)Quantitative features of multifractal subtleties in time series (2009)Finite-size effect and the components of multifractality in financial volatility (2011)Fractional Brownian Motions, Fractional Noises and Applications (1968)Multifractal characterizations of nonstationarity and intermittency in geophysical fields: Observed, retrieved, or simulated (1994)Detrending moving average algorithm for multifractals (2010)Multifractal analysis of financial markets: a review (2019)Théorie de la spéculation (1900)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Power Laws in Economics and Finance (2009)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Scaling of the distribution of price fluctuations of individual companies (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Detecting long-range correlations with detrended fluctuation analysis (2001)Effect of trends on detrended fluctuation analysis (2001)Wavelet versus detrended fluctuation analysis of multifractal structures (2006)A multifractal approach for stock market inefficiency (2008)Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)A Theory of Intraday Patterns: Volume and Price Variability (1988)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Properties of range-based volatility estimators (2011)An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA (2014)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)Correlations in economic time series (1997)Volatility distribution in the S&P500 stock index (1997)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)The politics of attention: how government prioritizes problems (2006)
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References

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  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1997Fractals and Scaling in Finance1,299 cited
  • 1991Wavelets and multifractal formalism for singular signals: Application to turbulence data786 cited
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  • 1996Turbulence and financial markets358 cited
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  • 1999Multifractal analysis of foreign exchange data190 cited
  • 2002Estimating daily volatility in financial markets utilizing intraday data139 cited
  • 1971Intermittency and scale similarity in the structure of a turbulent plow122 cited
  • 2001Multifractal analysis of Hang Seng index in Hong Kong stock market118 cited
  • 1999Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate111 cited
  • 2008Multifractal analysis of Chinese stock volatilities based on the partition function approach107 cited
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Multifractality in stock indexes: Fact or Fiction?
101 cited
  • 2003Scaling, self-similarity and multifractality in FX markets91 cited
  • Cited by

    • 2017Joint multifractal analysis based on wavelet leaders61 cited
    • 2013Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory21 cited