SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Scaling and memory of intraday volatility return intervals in stock markets
16 references·11 citing·36 second hop
Scaling and memory of intraday volatility return intervals in stock markets (2006)Scaling and memory of intraday volatility…A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…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…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Introduction to Econophysics (1999)Introduction to EconophysicsScaling 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…Stock Prices and Volume (1992)Stock Prices and VolumeARCH modeling in finance (1992)ARCH modeling in financeWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Option pricing: A simplified approach (1979)Option pricing: A simplified …The valuation of options for alternative stochastic processes (1976)The valuation of options for …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…The fine structure of volatility feedback II: Overnight and intra-day effects (2014)The fine structure of volatil…Emotional persistence in online chatting communities (2012)Emotional persistence in onli…Universal behaviour of interoccurrence times between losses in financial markets: An analytical description (2011)Universal behaviour of intero…On spurious and corrupted multifractality: The effects of additive noise, short-term memory and periodic trends (2011)On spurious and corrupted mul…Multifractal moving average analysis and test of multifractal model with tuned correlations (2011)Multifractal moving average a…Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws (2010)Market dynamics immediately b…Long memory volatility in Chinese stock markets (2009)Long memory volatility in Chi…Return interval distribution of extreme events and long-term memory (2008)Return interval distribution …Long memory features in the high frequency data of the Korean stock market (2008)Long memory features in the h…A statistical physics view of financial fluctuations: Evidence for scaling and universality (2008)A statistical physics view of…Relation between volatility correlations in financial markets and Omori processes occurring on all scales (2007)Relation between volatility c…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Portfolio Selection: Efficient Diversification of Investments (1959)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)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)Scaling of the distribution of fluctuations of financial market indices (1999)A tool for filtering information in complex systems (2005)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1999Introduction to Econophysics1,831 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1992Stock Prices and Volume1,295 cited
  • 2001Effect of trends on detrended fluctuation analysis1,285 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 2002Effect of nonstationarities on detrended fluctuation analysis

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

958 cited

Cited by

  • 2008Return interval distribution of extreme events and long-term memory113 cited
  • 2012Emotional persistence in online chatting communities100 cited
  • 2011Multifractal moving average analysis and test of multifractal model with tuned correlations96 cited
  • 2008A statistical physics view of financial fluctuations: Evidence for scaling and universality92 cited
  • 2011On spurious and corrupted multifractality: The effects of additive noise, short-term memory and periodic trends89 cited
  • 2011Universal behaviour of interoccurrence times between losses in financial markets: An analytical description75 cited
  • 2010Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws75 cited
  • 2007Relation between volatility correlations in financial markets and Omori processes occurring on all scales67 cited
  • 2009Long memory volatility in Chinese stock markets65 cited
  • 2008Long memory features in the high frequency data of the Korean stock market48 cited
  • 2014The fine structure of volatility feedback II: Overnight and intra-day effects30 cited