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Quantitative approach to multifractality induced by correlations and broad distribution of data
16 references·0 citing·35 second hop
Quantitative approach to multifractality induced by correlations and broad distribution of data (2018)Quantitative approach to multifractality …Finite-size effect and the components of multifractality in financial volatility (2011)Finite-size effect and the co…The components of empirical multifractality in financial returns (2009)The components of empirical m…Quantitative features of multifractal subtleties in time series (2009)Quantitative features of mult…A multifractal approach for stock market inefficiency (2008)A multifractal approach for s…Wavelet versus detrended fluctuation analysis of multifractal structures (2006)Wavelet versus detrended fluc…Multifractality in the stock market: price increments versus waiting times (2004)Multifractality in the stock …Components of multifractality in high-frequency stock returns (2004)Components of multifractality…Scaling behaviors in differently developed markets (2003)Scaling behaviors in differen…Multifractal properties of price fluctuations of stocks and commodities (2003)Multifractal properties of pr…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Leverage Effect in Financial Markets: The Retarded Volatility Model (2001)Leverage Effect in Financial …Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…A Multifractal Walk down Wall Street (1999)A Multifractal Walk down Wall…Turbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…Turbulence and financial markets (1996)Turbulence and financial mark…Wavelets and multifractal formalism for singular signals: Application to turbulence data (1991)Wavelets and multifractal for…Fractals and Scaling in Finance (1997)A theory of power-law distributions in financial market fluctuations (2003)Comparison of detrending methods for fluctuation analysis (2008)Fractal and Multifractal Time Series (2009)Multifractal random walk (2001)Forbidden patterns, permutation entropy and stock market inefficiency (2009)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets (2018)Introduction to Econophysics (1999)Detecting long-range correlations with detrended fluctuation analysis (2001)Effect of trends on detrended fluctuation analysis (2001)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)Scaling behaviour in the dynamics of an economic index (1995)Correlations in economic time series (1997)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Empirical properties of asset returns: stylized facts and statistical issues (2001)A Simple Approximate Long-Memory Model of Realized Volatility (2008)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Simulation of pedestrian crowds in normal and evacuation situations (2002)Leverage and Volatility Feedback Effects in High-Frequency Data (2006)The Econometrics of Financial Markets (2012)On the Modeling of Financial Time Series (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The Determinants of Credit Spread Changes (2001)The distribution of realized stock return volatility (2001)Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method (1993)
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References

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  • 1991Wavelets and multifractal formalism for singular signals: Application to turbulence data786 cited
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  • 2003Scaling behaviors in differently developed markets292 cited
  • 2009The components of empirical multifractality in financial returns195 cited
  • 2009Quantitative features of multifractal subtleties in time series190 cited
  • 2004Multifractality in the stock market: price increments versus waiting times159 cited
  • 2011Finite-size effect and the components of multifractality in financial volatility153 cited

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  • 2004Components of multifractality in high-frequency stock returns152 cited
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