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Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak
16 references·0 citing·41 second hop
Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak (2020)Evidence of Intraday Multifractality in E…An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA (2014)An analysis of stock market e…Cross-correlations between Chinese A-share and B-share markets (2010)Cross-correlations between Ch…Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis (2009)Measuring multifractality of …Herding and information based trading (2009)Herding and information based…Short-term predictability of crude oil markets: A detrended fluctuation analysis approach (2008)Short-term predictability of …Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…A multifractal approach for stock market inefficiency (2008)A multifractal approach for s…A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate (2005)A multifractal detrended fluc…Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions (2004)Evidence of long range depend…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Ambiguity Aversion and Incompleteness of Financial Markets (2001)Ambiguity Aversion and Incomp…An examination of herd behavior in equity markets: An international perspective (2000)An examination of herd behavi…Fractal Market Analysis: Applying Chaos Theory to Investment and Economics (1994)Fractal Market Analysis: Appl…When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models (1971)When Can Price be Arbitraged …The Variation of Some Other Speculative Prices (1967)The Variation of Some Other S…The X-11 variant of the census method II seasonal adjustment program (1965)The X-11 variant of the censu…Théorie de la spéculation (1900)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Long-term dependence in common stock returns (1977)Statistical Methods for Data with Long-Range Dependence (1992)The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)Fractional Differencing (1981)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis (2009)Wavelets and multifractal formalism for singular signals: Application to turbulence data (1991)Multifractal random walk (2001)Forbidden patterns, permutation entropy and stock market inefficiency (2009)Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets (2018)The Analysis of Economic Time-Series-Part I: Prices (1953)Filter Rules and Stock-Market Trading (1966)On the Distribution of Stock Price Differences (1967)The Random Character of Stock Market Prices (1968)Ecology, evolution and 1f-noise (1996)Risk, Ambiguity, and the Savage Axioms (1961)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Asset Prices in an Exchange Economy (1978)Uncertainty and Risk in Financial Markets (2004)Liquidity and asset prices in rational expectations equilibrium with ambiguous information (2011)Network analysis of global stock markets at the beginning of the coronavirus disease (Covid-19) outbreak (2020)Capital Market Equilibrium with Restricted Borrowing (1972)Herd Behavior and Investment (1988)Foreign Speculators and Emerging Equity Markets (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Herding behavior in Chinese stock markets: An examination of A and B shares (2007)An empirical analysis of herd behavior in global stock markets (2010)Seasonal Adjustment and Relations between Variables (1974)Oil price shocks and their short- and long-term effects on the Chinese economy (2010)Forecasting holiday daily tourist flow based on seasonal support vector regression with adaptive genetic algorithm (2014)Behavioral Finance and Its Implications for Stock-Price Volatility (1998)On Hurst exponent estimation under heavy-tailed distributions (2010)On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic (2020)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)Cross-correlations between volume change and price change (2009)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)
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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
  • 2000An examination of herd behavior in equity markets: An international perspective1,288 cited
  • 1994Fractal Market Analysis: Applying Chaos Theory to Investment and Economics983 cited
  • 1967The Variation of Some Other Speculative Prices532 cited
  • 1971When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models482 cited
  • 1965The X-11 variant of the census method II seasonal adjustment program321 cited
  • 2008A multifractal approach for stock market inefficiency305 cited
  • 2008Short-term predictability of crude oil markets: A detrended fluctuation analysis approach245 cited
  • 2001Ambiguity Aversion and Incompleteness of Financial Markets208 cited
  • 2009Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis199 cited
  • 2004Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions183 cited
  • 2014An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA180 cited
  • 2009Herding and information based trading178 cited

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  • 2010Cross-correlations between Chinese A-share and B-share markets173 cited
  • 2005A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate172 cited
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