FINANCIAL AND OTHER SPATIO-TEMPORAL TIME SERIES: LONG-RANGE CORRELATIONS AND SPECTRAL PROPERTIES

DOI10.1142/S0129183105008230MaRDI QIDQ3368601zbMATH OpenFDO

Authors

Publication date 31 January 2006

Published in International Journal of Modern Physics C (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0129183105008230

zbMATH Keywords

GARCHfinancial time seriescoupled map latticespatio temporal data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 428908 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• Pattern dynamics in spatiotemporal chaos. Pattern selection, diffusion of defect and pattern competition intermittency
• Prediction in dynamic models with time-dependent conditional variances

Cited in

(7)

• Long-run wavelet-based correlation for financial time series
• Dynamical evolution of anti-social phenomena: a data science approach
• SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET
• RANDOM-WALK TYPE MODEL WITH FAT TAILS FOR FINANCIAL MARKETS
• Long correlations applied to the study of agricultural indices in comparison with the S\&P500 index
• scientific article; zbMATH DE number 1698829 (Why is no real title available?)
• QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES

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