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The entropy as a tool for analysing statistical dependences in financial time series
8 references·16 citing·33 second hop
The entropy as a tool for analysing statistical dependences in financial time series (2000)The entropy as a tool for analysing stati…The Econometrics of Financial Markets (2012)The Econometrics of Financial…A Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Multifractal analysis of foreign exchange data (1999)Multifractal analysis of fore…A Multifractal Walk down Wall Street (1999)A Multifractal Walk down Wall…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Correlations in economic time series (1997)Correlations in economic time…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 …An Entropy Approach to Measure the Dynamic Stock Market Efficiency (2022)An Entropy Approach to Measur…Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment (2021)Nonlinear nexus between crypt…Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach (2021)Information-Theoretic Measure…Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic? (2021)Have returns and volatilities…Multivariate weighted multiscale permutation entropy for complex time series (2017)Multivariate weighted multisc…Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches (2016)Examining the efficiency and …On the predictability of energy commodity markets by an entropy-based computational method (2015)On the predictability of ener…Weighted multiscale permutation entropy of financial time series (2014)Weighted multiscale permutati…On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries (2012)On the globalization of stock…Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data (2012)Is the US stock market becomi…Multiscale entropy analysis of crude oil price dynamics (2011)Multiscale entropy analysis o…Efficiency of crude oil markets: Evidences from informational entropy analysis (2011)Efficiency of crude oil marke…A multiscale entropy approach for market efficiency (2011)A multiscale entropy approach…The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets (2009)The effect of noise reduction…Efficient factor GARCH models and factor-DCC models (2009)Efficient factor GARCH models…Accelerated fluctuation analysis by graphic cards and complex pattern formation in financial markets (2009)Accelerated fluctuation analy…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Long memory in continuous‐time stochastic volatility models (1998)Modeling and Forecasting Realized Volatility (2001)The Behavior of Stock-Market Prices (1965)A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate (2005)Quantitative features of multifractal subtleties in time series (2009)Finite-size effect and the components of multifractality in financial volatility (2011)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers (2018)Impact of the global financial crisis on the crude oil market (2020)Taxonomy of commodities assets via complexity-entropy causality plane (2020)Fractional Brownian Motions, Fractional Noises and Applications (1968)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)The Distribution of Exchange Rate Volatility (1999)Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Multifractal properties of price fluctuations of stocks and commodities (2003)A multifractal approach for stock market inefficiency (2008)The components of empirical multifractality in financial returns (2009)Irreversibility of financial time series: A graph-theoretical approach (2016)Is Oil Political? From the Perspective of Geopolitical Risk (2019)Volatility distribution in the S&P500 stock index (1997)Establishing the relation between detrended fluctuation analysis and power spectral density analysis for stochastic processes (2000)Time-lag cross-correlations in collective phenomena (2010)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
this work references cited by second hop

References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
  • 1999A Multifractal Walk down Wall Street361 cited
  • 1997Correlations in economic time series313 cited
  • 1999Multifractal analysis of foreign exchange data190 cited

Cited by

  • 2011Multiscale entropy analysis of crude oil price dynamics112 cited
  • 2011Efficiency of crude oil markets: Evidences from informational entropy analysis99 cited
  • 2014Weighted multiscale permutation entropy of financial time series84 cited
  • 2009The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets79 cited
  • 2021Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment64 cited
  • 2011A multiscale entropy approach for market efficiency64 cited
  • 2017Multivariate weighted multiscale permutation entropy for complex time series

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57 cited
  • 2009Accelerated fluctuation analysis by graphic cards and complex pattern formation in financial markets56 cited
  • 2012Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data55 cited
  • 2016Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches55 cited
  • 2009Efficient factor GARCH models and factor-DCC models50 cited
  • 2015On the predictability of energy commodity markets by an entropy-based computational method39 cited
  • 2022An Entropy Approach to Measure the Dynamic Stock Market Efficiency33 cited
  • 2021Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach28 cited
  • 2012On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries28 cited
  • 2021Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?22 cited