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Dynamical Variety of Shapes in Financial Multifractality
16 references·0 citing·27 second hop
Dynamical Variety of Shapes in Financial Multifractality (2018)Dynamical Variety of Shapes in Financial …Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations (2015)Detrended fluctuation analysi…Detrended cross-correlation analysis consistently extended to multifractality (2014)Detrended cross-correlation a…Physical approach to complex systems (2012)Physical approach to complex …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…The Markov-Switching Multifractal Model of Asset Returns (2008)The Markov-Switching Multifra…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…Wavelet versus detrended fluctuation analysis of multifractal structures (2006)Wavelet versus detrended fluc…Long‐term persistence and multifractality of precipitation and river runoff records (2006)Long‐term persistence and mul…Long-term persistence and multifractality of river runoff records: Detrended fluctuation studies (2005)Long-term persistence and mul…Can one make any crash prediction in finance using the local Hurst exponent idea? (2004)Can one make any crash predic…Multifractality in Asset Returns: Theory and Evidence (2002)Multifractality in Asset Retu…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Inverse cubic law for the distribution of stock price variations (1998)Inverse cubic law for the dis…THE MULTIFRACTAL FORMALISM REVISITED WITH WAVELETS (1994)THE MULTIFRACTAL FORMALISM RE…Fractals and Scaling in Finance (1997)A theory of power-law distributions in financial market fluctuations (2003)A multifractal approach for stock market inefficiency (2008)Comparison of detrending methods for fluctuation analysis (2008)Fractal and Multifractal Time Series (2009)The Behavior of Stock-Market Prices (1965)The Matthew Effect in Science (1968)The Pricing of Options and Corporate Liabilities (1973)Multiscale characteristics of the emerging global cryptocurrency market (2020)Detecting long-range correlations with detrended fluctuation analysis (2001)Effect of trends on detrended fluctuation analysis (2001)Fractional Differencing (1981)Cross-correlations between volume change and price change (2009)ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)The Volatility of Realized Volatility (2008)Scaling of the distribution of price fluctuations of individual companies (1999)How Markets Slowly Digest Changes in Supply and Demand (2009)Multifractal analysis of financial markets: a review (2019)Detrending moving average algorithm for multifractals (2010)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Statistical tests for power-law cross-correlated processes (2011)
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References

  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 cited
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 1998Inverse cubic law for the distribution of stock price variations590 cited
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  • 2012Physical approach to complex systems517 cited
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  • 2002Multifractality in Asset Returns: Theory and Evidence384 cited
  • 2006Wavelet versus detrended fluctuation analysis of multifractal structures339 cited
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  • 2014Detrended cross-correlation analysis consistently extended to multifractality224 cited
  • 2009The components of empirical multifractality in financial returns195 cited
  • 2009Quantitative features of multifractal subtleties in time series190 cited
  • 2008

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The Markov-Switching Multifractal Model of Asset Returns
176 cited
  • 2015Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations167 cited
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