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Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches
16 references·5 citing·32 second hop
Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches (2016)Examining the efficiency and interdepende…Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Multifractal detrended cross-…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…Insider trading in credit derivatives☆ (2007)Insider trading in credit der…An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps (2006)An Empirical Analysis of the …An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)The relationship between cred…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …The Analysis of Economic Time-Series-Part I: Prices (1953)The Analysis of Economic Time…How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality (2023)How does price (in)efficiency…Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices (2020)Multifractal detrended cross-…Multifractal analysis of the Chinese stock, bond and fund markets (2018)Multifractal analysis of the …Market efficiency and technical analysis during different market phases: further evidence from Malaysia (2017)Market efficiency and technic…Connectedness between US industry level credit markets and determinants (2017)Connectedness between US indu…Fractional Differencing (1981)Cross-correlations between volume change and price change (2009)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Fractional Brownian Motions, Fractional Noises and Applications (1968)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)The effect of bond rating changes on common stock prices (1986)The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Forecasting Default with the Merton Distance to Default Model (2008)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Term Structures of Defaultable Bonds (1999)A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)The cost of capital, corporation finance and the theory of investment (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*23,066 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,052 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,053 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1953The Analysis of Economic Time-Series-Part I: Prices834 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 2007Insider trading in credit derivatives☆827 cited
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals

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769 cited
  • 2006An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps657 cited
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    • 2017Connectedness between US industry level credit markets and determinants15 cited
    • 2017Market efficiency and technical analysis during different market phases: further evidence from Malaysia15 cited