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Multifractal analysis of foreign exchange data
16 references·16 citing·31 second hopsampled
Multifractal analysis of foreign exchange data (1999)Multifractal analysis of foreign exchange…A Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…The variation of certain speculative prices (1997)The variation of certain spec…Turbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…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…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …ARCH modeling in finance (1992)ARCH modeling in financeARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …The Variation of Some Other Speculative Prices (1967)The Variation of Some Other S…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Understanding the source of multifractality in financial markets (2012)Understanding the source of m…Multifractal detrended cross-correlations between the Chinese exchange market and stock market (2012)Multifractal detrended cross-…Finite-size effect and the components of multifractality in financial volatility (2011)Finite-size effect and the co…Arbitrary-order Hilbert spectral analysis for time series possessing scaling statistics: Comparison study with detrended fluctuation analysis and wavelet leaders (2011)Arbitrary-order Hilbert spect…Quantitative features of multifractal subtleties in time series (2009)Quantitative features of mult…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…Continuous cascade models for asset returns (2007)Continuous cascade models for…Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets (2006)Importance of positive feedba…A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate (2005)A multifractal detrended fluc…Multifractal stationary random measures and multifractal random walks with log infinitely divisible scaling laws (2002)Multifractal stationary rando…Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins (2002)Market Fluctuations I: Scalin…Multifractal returns and hierarchical portfolio theory (2001)Multifractal returns and hier…Modelling financial time series using multifractal random walks (2001)Modelling financial time seri…The entropy as a tool for analysing statistical dependences in financial time series (2000)The entropy as a tool for ana…Physicists attempt to scale the ivory towers of finance (1999)Physicists attempt to scale t…The Pricing of Options and Corporate Liabilities (1973)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)Long memory in continuous‐time stochastic volatility models (1998)Modeling and Forecasting Realized Volatility (2001)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)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)Empirical properties of asset returns: stylized facts and statistical issues (2001)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)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Portfolio Analysis in a Stable Paretian Market (1965)On the Distribution of Stock Price Differences (1967)Rational Theory of Warrant Pricing (2015)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited

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1967
The Variation of Some Other Speculative Prices
532 cited

Cited by

  • 2009Quantitative features of multifractal subtleties in time series190 cited
  • 2005A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate172 cited
  • 2011Finite-size effect and the components of multifractality in financial volatility153 cited
  • 2000The entropy as a tool for analysing statistical dependences in financial time series148 cited
  • 2002Multifractal stationary random measures and multifractal random walks with log infinitely divisible scaling laws140 cited
  • 1999Physicists attempt to scale the ivory towers of finance138 cited
  • 2012Multifractal detrended cross-correlations between the Chinese exchange market and stock market134 cited
  • 2012Understanding the source of multifractality in financial markets131 cited
  • 2001Multifractal returns and hierarchical portfolio theory119 cited
  • 2002Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins114 cited
  • 2011Arbitrary-order Hilbert spectral analysis for time series possessing scaling statistics: Comparison study with detrended fluctuation analysis and wavelet leaders112 cited
  • 2001Modelling financial time series using multifractal random walks107 cited
  • 2008Multifractal analysis of Chinese stock volatilities based on the partition function approach107 cited
  • 2006Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets103 cited
  • 2008Multifractality in stock indexes: Fact or Fiction?101 cited
  • 2007Continuous cascade models for asset returns100 cited