Revisiting the multifractality in stock returns and its modeling implications (Q1620210): Difference between revisions

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+https://doi.org/10.1016/j.physa.2016.09.040
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+W2528701213
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+Long-Term Memory in Stock Market Prices
@@ Property / cites work: Long-Term Memory in Stock Market Prices / rank @@
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+Mean reversion in the US stock market
@@ Property / cites work: Mean reversion in the US stock market / rank @@
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+Multifractal detrended fluctuation analysis of nonstationary time series
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+Negative fractal dimensions and multifractals
@@ Property / cites work: Negative fractal dimensions and multifractals / rank @@
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
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+Autoregressive Conditional Density Estimation
@@ Property / cites work: Autoregressive Conditional Density Estimation / rank @@
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+Generalized autoregressive conditional heteroscedasticity
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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+Modeling and pricing long memory in stock market volatility
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+Publication:1620210