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Market heterogeneities and the causal structure of volatility
15 references·9 citing·42 second hop
Market heterogeneities and the causal structure of volatility (2003)Market heterogeneities and the causal str…Volatility processes and volatility forecast with long memory (2004)Volatility processes and vola…Modeling and Forecasting Realized Volatility (2001)Modeling and Forecasting Real…Consistent High‐precision Volatility from High‐frequency Data (2001)Consistent High‐precision Vol…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Nonlinear modelling of high frequency financial time series (1998)Nonlinear modelling of high f…”Direct” causal cascade in the stock market (1998)”Direct” causal cascade in th…Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…Stock market dynamics and turbulence: parallel analysis of fluctuation phenomena (1997)Stock market dynamics and tur…Modelling Short-Term Volatility with GARCH and Harch Models (1997)Modelling Short-Term Volatili…Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet'' (1997)Causal cascade in the stock m…Turbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…Turbulence and financial markets (1996)Turbulence and financial mark…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…A long memory property of stock market returns and a new model (1993)A long memory property of sto…From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect (2021)From quadratic Hawkes process…The Zumbach effect under rough Heston (2019)The Zumbach effect under roug…Combining high frequency data with non-linear models for forecasting energy market volatility (2016)Combining high frequency data…The fine-structure of volatility feedback I: Multi-scale self-reflexivity (2014)The fine-structure of volatil…Multiscale Analysis of International Linkages of REIT Returns and Volatilities (2011)Multiscale Analysis of Intern…Comovement of international real estate securities returns: a wavelet analysis (2010)Comovement of international r…Time reversal invariance in finance (2009)Time reversal invariance in f…Optimal approximations of power laws with exponentials: application to volatility models with long memory (2007)Optimal approximations of pow…Estimation of Capital Asset Pricing Model at Different Time Scales Application to French Stock Market (2007)Estimation of Capital Asset P…Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional 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)Fractals and Scaling in Finance: Discontinuity, Concentration, Risk (1998)Self-organized percolation model for stock market fluctuations (1999)Econophysics: financial time series from a statistical physics point of view (2000)How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market (2000)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)Scaling behaviour in the dynamics of an economic index (1995)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)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)Physical approach to complex systems (2012)Multifractal analysis of financial markets: a review (2019)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)A Fourier transform method for nonparametric estimation of multivariate volatility (2009)Covariance measurement in the presence of non-synchronous trading and market microstructure noise (2010)Patterns in high-frequency FX data: discovery of 12 empirical scaling laws (2010)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Realized Volatility: A Review (2008)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized kernels in practice: trades and quotes (2009)Stock market crashes are outliers (1998)Physicists attempt to scale the ivory towers of finance (1999)Scaling and correlation in financial time series (2000)
this work references cited by second hop

References

  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 1996Turbulence and financial markets358 cited
  • 1998”Direct” causal cascade in the stock market239 cited
  • 1997Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''147 cited
  • 2001Consistent High‐precision Volatility from High‐frequency Data126 cited
  • 1997Stock market dynamics and turbulence: parallel analysis of fluctuation phenomena120 cited
  • 2004Volatility processes and volatility forecast with long memory104 cited
  • 1997Modelling Short-Term Volatility with GARCH and Harch Models86 cited
  • 2001Modeling and Forecasting Realized Volatility75 cited
  • 1998Nonlinear modelling of high frequency financial time series73 cited

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Cited by

  • 2009Time reversal invariance in finance86 cited
  • 2014The fine-structure of volatility feedback I: Multi-scale self-reflexivity49 cited
  • 2016Combining high frequency data with non-linear models for forecasting energy market volatility43 cited
  • 2007Optimal approximations of power laws with exponentials: application to volatility models with long memory41 cited
  • 2010Comovement of international real estate securities returns: a wavelet analysis41 cited
  • 2011Multiscale Analysis of International Linkages of REIT Returns and Volatilities40 cited
  • 2007Estimation of Capital Asset Pricing Model at Different Time Scales Application to French Stock Market28 cited
  • 2021From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect28 cited
  • 2019The Zumbach effect under rough Heston24 cited