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Time-dependent Hurst exponent in financial time series
13 references·16 citing·35 second hop
Time-dependent Hurst exponent in financial time series (2004)Time-dependent Hurst exponent in financia…A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…Second-order moving average and scaling of stochastic time series (2002)Second-order moving average a…New frontiers for arch models (2002)New frontiers for arch modelsEffect 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 High-Frequency Finance (2001)An Introduction to High-Frequ…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Statistical properties of the volatility of price fluctuations (1999)Statistical properties of the…Introduction to Econophysics (1999)Introduction to EconophysicsFractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Long-range correlations and asymmetry in the Bitcoin market (2017)Long-range correlations and a…Understanding the source of multifractality in financial markets (2012)Understanding the source of m…Measuring capital market efficiency: Global and local correlations structure (2012)Measuring capital market effi…Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series (2012)Dynamical generalized Hurst e…Quantifying and modeling long-range cross correlations in multiple time series with applications to world stock indices (2011)Quantifying and modeling long…Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)Detrended cross-correlation a…Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series (2010)Use and misuse of some Hurst …On Hurst exponent estimation under heavy-tailed distributions (2010)On Hurst exponent estimation …Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis (2010)Analysis of the efficiency an…Fractal and Multifractal Time Series (2009)Fractal and Multifractal Time…Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets (2008)Hurst exponent and prediction…Comparison of detrending methods for fluctuation analysis (2008)Comparison of detrending meth…Detrending moving average algorithm: A closed-form approximation of the scaling law (2007)Detrending moving average alg…Detrended fluctuation analysis for fractals and multifractals in higher dimensions (2006)Detrended fluctuation analysi…Quantifying signals with power-law correlations: A comparative study of detrended fluctuation analysis and detrended moving average techniques (2005)Quantifying signals with powe…Detrending fluctuation analysis based on moving average filtering (2005)Detrending fluctuation analys…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Théorie de la spéculation (1900)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Universal and Nonuniversal 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this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1999Introduction to Econophysics1,831 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 2001Effect of trends on detrended fluctuation analysis1,285 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 2002Effect of nonstationarities on detrended fluctuation analysis958 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 2002New frontiers for arch models739 cited
  • 1999Statistical properties of the volatility of price fluctuations730 cited
  • 2002Second-order moving average and scaling of stochastic time series408 cited

Cited by

  • 2011Detrended cross-correlation analysis for non-stationary time series with periodic trends334 cited
  • 2008Comparison of detrending methods for fluctuation analysis

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315 cited
  • 2005Quantifying signals with power-law correlations: A comparative study of detrended fluctuation analysis and detrended moving average techniques285 cited
  • 2010On Hurst exponent estimation under heavy-tailed distributions276 cited
  • 2006Detrended fluctuation analysis for fractals and multifractals in higher dimensions243 cited
  • 2009Fractal and Multifractal Time Series242 cited
  • 2012Measuring capital market efficiency: Global and local correlations structure185 cited
  • 2017Long-range correlations and asymmetry in the Bitcoin market175 cited
  • 2012Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series146 cited
  • 2010Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis140 cited
  • 2005Detrending fluctuation analysis based on moving average filtering138 cited
  • 2010Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series132 cited
  • 2012Understanding the source of multifractality in financial markets131 cited
  • 2011Quantifying and modeling long-range cross correlations in multiple time series with applications to world stock indices131 cited
  • 2008Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets118 cited
  • 2007Detrending moving average algorithm: A closed-form approximation of the scaling law116 cited