Recommendations
Cites work
- ARCH modeling in finance. A review of the theory and empirical evidence
- Asymptotic behaviour of stochastic systems with conditionally exponential decay property
- Conditionally exponential dependence model for asset returns
- Modeling asset returns with alternative stable distributions*
- Statistical methods in finance
Cited in
(15)- Complexity and uncertainty analysis of financial stock markets based on entropy of scale exponential spectrum
- scientific article; zbMATH DE number 2145165 (Why is no real title available?)
- Building multi-scale portfolios and efficient market frontiers using fractal regressions
- A proof for French's empirical formula on option pricing.
- Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates
- The high order dispersion analysis based on first-passage-time probability in financial markets
- scientific article; zbMATH DE number 2222639 (Why is no real title available?)
- scientific article; zbMATH DE number 5082553 (Why is no real title available?)
- On the origin of power-law tails in price fluctuations
- A distribution-based method to gauge market liquidity through scale invariance between investment horizons
- Identification and validation of stable ARFIMA processes with application to UMTS data
- Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility
- CED model for asset returns and fractal market hypothesis
- Study on portfolio model under background risk and fractal market
- Multifractal financial markets. An alternative approach to asset and risk management
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