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Wavelet analysis and scaling properties of time series
9 references·1 citing·31 second hop
Wavelet analysis and scaling properties of time series (2005)Wavelet analysis and scaling properties o…Multifractal properties of price fluctuations of stocks and commodities (2003)Multifractal properties of pr…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…Scaling of the distribution of price fluctuations of individual companies (1999)Scaling of the distribution o…Scaling of the distribution of fluctuations of financial market indices (1999)Scaling of the distribution o…Fractals and Scaling in Finance: Discontinuity, Concentration, Risk (1998)Fractals and Scaling in Finan…ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)ESTIMATORS FOR LONG-RANGE DEP…Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method (1993)Multifractal formalism for fr…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Multiresolution analysis of fluctuations in non-stationary time series through discrete wavelets (2009)Multiresolution analysis of f…Wavelets and multifractal formalism for singular signals: Application to turbulence data (1991)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)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)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)The Variation of Certain Speculative Prices (1963)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Power Laws in Economics and Finance (2008)Physical approach to complex systems (2012)Power Laws in Economics: An Introduction (2016)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Institutional Investors and Stock Market Volatility (2006)Multifractal detrended fluctuation analysis of nonstationary time series (2002)”Direct” causal cascade in the stock market (1998)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Statistical tests for power-law cross-correlated processes (2011)Wavelet analysis of long-range-dependent traffic (1998)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)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2001Effect of trends on detrended fluctuation analysis1,285 cited
  • 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1,189 cited
  • 2002Effect of nonstationarities on detrended fluctuation analysis958 cited
  • 1999Scaling of the distribution of fluctuations of financial market indices893 cited
  • 1993Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method564 cited
  • 1999Scaling of the distribution of price fluctuations of individual companies539 cited
  • 1998Fractals and Scaling in Finance: Discontinuity, Concentration, Risk418 cited
  • 2003Multifractal properties of price fluctuations of stocks and commodities343 cited

Cited by

  • 2009Multiresolution analysis of fluctuations in non-stationary time series through discrete wavelets58 cited

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