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Time reversal invariance in finance
6 references·3 citing·33 second hop
Time reversal invariance in finance (2009)Time reversal invariance in financeMarket heterogeneities and the causal structure of volatility (2003)Market heterogeneities and th…Turbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…Time Irreversibility and Business Cycle Asymmetry (1996)Time Irreversibility and Busi…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect (2021)From quadratic Hawkes process…The Zumbach effect under rough Heston (2019)The Zumbach effect under roug…Assessing Time Series Reversibility through Permutation Patterns (2018)Assessing Time Series Reversi…A long memory property of stock market returns and a new model (1993)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Optimal approximations of power laws with exponentials: application to volatility models with long memory (2007)The fine-structure of volatility feedback I: Multi-scale self-reflexivity (2014)Combining high frequency data with non-linear models for forecasting energy market volatility (2016)Time Series Analysis: Forecasting and Control (1977)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)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Distribution of Realized Exchange Rate Volatility (2001)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Scaling of the distribution of price fluctuations of individual companies (1999)Physical approach to complex systems (2012)Multifractal analysis of financial markets: a review (2019)An Intertemporal General Equilibrium Model of Asset Prices (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Volatility Is Rough (2018)The rough Hawkes Heston stochastic volatility model (2024)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Econometrics of Financial Markets (1997)Continuous Martingales and Brownian Motion (1999)Small‐time, large‐time, and asymptotics for the Rough Heston model (2020)From Constant to Rough: A Survey of Continuous Volatility Modeling (2023)Modeling Multiple Regimes in the Business Cycle (1999)Symbolic approach for measuring temporal “irreversibility” (2000)Slow boom, sudden crash (2004)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 1996Time Irreversibility and Business Cycle Asymmetry259 cited
  • 2003Market heterogeneities and the causal structure of volatility114 cited

Cited by

  • 2018Assessing Time Series Reversibility through Permutation Patterns58 cited
  • 2021From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect28 cited
  • 2019The Zumbach effect under rough Heston24 cited

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