Multi-scaling in finance
By T. Di Matteo. 2007
174 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Signal Processing
View Paper: https://www.semanticscholar.org/paper/a63c02ca7c7caf0e3ea99d42846ecec396ca0d41
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Ladislav Kristoufek
- Miloslav S. Vosvrda
- K. Lim
- R. Brooks
- T. Di Matteo
- Raffaello Morales
- Ruggero Gramatica
- Tomaso Aste
In Finance
- Ladislav Kristoufek
- Miloslav S. Vosvrda
- K. Lim
- R. Brooks
- T. Di Matteo
- Raffaello Morales
- Ruggero Gramatica
- Tomaso Aste
In Signal Processing
- Ladislav Kristoufek
- Miloslav S. Vosvrda
- K. Lim
- R. Brooks
- Raffaello Morales
- Ruggero Gramatica
- Tomaso Aste
- Luciano Zunino
Citations in the corpus
- The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, methodology): “8 The battery of nonlinearity tests included in the toolkit are the Engle LM test (Engle, 1982), Hinich bispectrum test (Hinich, 1982), McLeod and Li’s (1983) test, Tsay’s (1986) test, Hinich bicorrelation test (Hinich, 1996) and the BDS test (Brock et al., 1996). Due to its convenience, this ‘nonli”
- A multifractal approach for stock market inefficiency (2008, background): “This exponent shows remarkable differences between developed and emerging markets, with high values for the latter and low ones for the former [48].”
- Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series (2011, methodology): “Previous works [14, 15] have highlighted that the value of the GHE allows to characterize the stage of development of a market, with values of the GHE greater than 0.”
- Measuring capital market efficiency: Global and local correlations structure (2012, background): “Hurst exponent and a presence of long-term memory has been widely analyzed in recent years – in stock indices [17, 29], interest rates [12], bonds [13], exchange rates [45] and others.”
- Commodity futures and market efficiency (2013, methodology): “For comparison of both time and frequency domain estimators, see Beran (1994), Taqqu et al. (1995), Taqqu and Teverovsky (1996), Robinson (1995), Geweke and Porter-Hudak (1983), Di Matteo et al. (2003), Di Matteo (2007), Barunik and Kristoufek (2010) and Teverovsky et al. (1999).”