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Unifractality and multifractality in the Italian stock market
16 references·4 citing·32 second hop
Unifractality and multifractality in the Italian stock market (2009)Unifractality and multifractality in the …The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Stock returns and the weekend effect (1980)Stock returns and the weekend…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…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 …The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…Portfolio Selection (1952)Portfolio SelectionExchange rate regimes and price efficiency: Empirical examination of the impact of financial crisis (2021)Exchange rate regimes and pri…Investigation of fractal market hypothesis and forecasting time series stock returns for Tehran Stock Exchange and London Stock Exchange (2019)Investigation of fractal mark…Multifractal analysis of Bitcoin market (2018)Multifractal analysis of Bitc…Are European equity markets efficient? New evidence from fractal analysis (2011)Are European equity markets e…Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dividend Policy, Growth, and the Valuation of Shares (1961)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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)Specification Tests in Econometrics (1978)Multifactor Explanations of Asset Pricing Anomalies (1996)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)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1952Portfolio Selection4,609 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited

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1990
When Are Contrarian Profits Due to Stock Market Overreaction?
1,707 cited

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  • 2019Investigation of fractal market hypothesis and forecasting time series stock returns for Tehran Stock Exchange and London Stock Exchange36 cited
  • 2021Exchange rate regimes and price efficiency: Empirical examination of the impact of financial crisis24 cited