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Indication of multiscaling in the volatility return intervals of stock markets
16 references·0 citing·35 second hop
Indication of multiscaling in the volatility return intervals of stock markets (2008)Indication of multiscaling in the volatil…Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management (2011)Theory of Financial Risk and …Theory of Financial Risk and Derivative Pricing (2003)Theory of Financial Risk and …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 EconophysicsThe econometrics of financial markets (1996)The econometrics of financial…Scaling 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…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …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…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…The Pricing of Options and Corporate Liabilities (1973)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)Statistical analysis of cointegration vectors (1988)Scaling of the distribution of fluctuations of financial market indices (1999)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)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)Théorie de la spéculation (1900)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Power Laws in Economics and Finance (2009)Portfolio Selection: Efficient Diversification of Investments (1959)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Bayesian Analysis of Stochastic Volatility Models (2002)Risks and Portfolio Decisions Involving Hedge Funds (2003)Market liquidity as a sentiment indicator (2004)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)Alternative models for conditional stock volatility (1990)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)A Monetary History of the United States, 1867-1960 (2017)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

  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1992ARCH modeling in finance4,288 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
  • 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
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1996The econometrics of financial markets886 cited
  • 2003Theory of Financial Risk and Derivative Pricing879 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1999Statistical properties of the volatility of price fluctuations730 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 2011Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management

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