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Scaling in financial prices: I. Tails and dependence
3 references·1 citing·15 second hop
Scaling in financial prices: I. Tails and dependence (2001)Scaling in financial prices: I. Tails and…The variation of certain speculative prices (1997)The variation of certain spec…Fractals and Scaling in Finance: Discontinuity, Concentration, Risk. Selecta Volume E (1997)Fractals and Scaling in Finan…Human behavior and the principle of least effort (1949)Human behavior and the princi…Long-term memory and volatility clustering in high-frequency price changes (2007)Long-term memory and volatili…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)Measuring persistence in stock market volatility using the FIGARCH approach (2014)Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods (2016)All the frequencies matter in the Bitcoin market: an efficiency analysis (2020)A Nonlinear Structural Model for Volatility Clustering (2006)A Multifractal Model of Asset Returns (2011)Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series (2012)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Birds of a Feather: Homophily in Social Networks (2001)Zipf Distribution of U.S. Firm Sizes (2001)Power laws, Pareto distributions and Zipf's law (2005)
this work references cited by second hop

References

  • 1949Human behavior and the principle of least effort6,562 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1997Fractals and Scaling in Finance: Discontinuity, Concentration, Risk. Selecta Volume E211 cited

Cited by

  • 2007Long-term memory and volatility clustering in high-frequency price changes87 cited

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