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Nonlinearities and chaotic effects in options prices
4 references·5 citing·29 second hop
Nonlinearities and chaotic effects in options prices (1989)Nonlinearities and chaotic effects in opt…A test for independence based on the correlation dimension (1996)A test for independence based…The economy as an evolving complex system (1991)The economy as an evolving co…Nonlinear Dynamics and Stock Returns (1989)Nonlinear Dynamics and Stock …Is the business cycle characterized by deterministic chaos? (1988)Is the business cycle charact…Option valuation and hedging in markets with a crunch (2017)Option valuation and hedging …TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA (2006)TESTING FOR NONLINEARITY & MO…Modeling nonlinear dynamics of daily futures price changes (1999)Modeling nonlinear dynamics o…Comparing the forecasting performance of neural networks and forward exchange rates (1997)Comparing the forecasting per…Testing for nonlinear dependence in daily stock indices (1992)Testing for nonlinear depende…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Testing for a Unit Root in Time Series Regression (1988)Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes (2014)Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches (2016)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)A long memory property of stock market returns and a new model (1993)Fractal Market Analysis: Applying Chaos Theory to Investment and Economics (1994)Comparing the forecasting performance of neural network and purchasing power parity: The case of Turkey (2013)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Deterministic nonlinearity in the stock returns of major European equity markets and the United States (1998)Chaotic behavior in national stock market indices (2001)Testing Predictability and Nonlinear Dependence in the Indian Stock Market (2005)Book Review: Time Series Analysis: Forecasting and Control (1977)Time to Build and Aggregate Fluctuations (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)The Pricing of Options and Corporate Liabilities (1973)Power-law relaxation in a complex system: Omori law after a financial market crash (2003)APPLICATION OF FLOCKING MECHANISM TO THE MODELING OF STOCHASTIC VOLATILITY (2012)The resource‐based view within the conversation of strategic management (1992)When Effect Becomes Cause: Policy Feedback and Political Change (1993)Shared Mental Models: Ideologies and Institutions (1994)
this work references cited by second hop

References

  • 1996A test for independence based on the correlation dimension3,573 cited
  • 1989Nonlinear Dynamics and Stock Returns778 cited
  • 1991The economy as an evolving complex system750 cited
  • 1988Is the business cycle characterized by deterministic chaos?411 cited

Cited by

  • 1992Testing for nonlinear dependence in daily stock indices64 cited
  • 1997Comparing the forecasting performance of neural networks and forward exchange rates34 cited
  • 1999Modeling nonlinear dynamics of daily futures price changes27 cited
  • 2006TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA25 cited
  • 2017Option valuation and hedging in markets with a crunch17 cited

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