相关论文: A wavelet analysis of inter-dependence, contagion …

This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in application of wavelet tools to high-frequency financial market data, which allows us to understand the…

This paper proposes a time-zone vector autoregression (VAR) model to investigate comovements in the global financial market. Analyzing daily data from 36 national equity markets, we explore the subprime and European debt crises using static…

Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for various time horizons. In particular, the correlation between the volatility derivative and the volatility realized in…

This study investigates the efficiency of some select stock markets. Using an improved wavelet estimator of long range dependence, we show evidence of long memory in the stock returns of some emerging Asian economies. However, developed…

This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market capitalizations over time, in terms of inequality,…

We analyze whether the prediction of the fractal markets hypothesis about a dominance of specific investment horizons during turbulent times holds. To do so, we utilize the continuous wavelet transform analysis and obtained wavelet power…

Researchers have used many different methods to detect the possibility of long-term dependence (long memory) in stock market returns, but evidence is in general mixed. In this paper, three different tests, (namely Rescaled Range (R/S), its…

In this study, we perform some analysis for the probability distributions in the space of frequency and time variables. However, in the domain of high frequencies, it behaves in such a way as the highly non-linear dynamics. The wavelet…

A method based on wavelet transform and genetic programming is proposed for characterizing and modeling variations at multiple scales in non-stationary time series. The cyclic variations, extracted by wavelets and smoothened by cubic…

We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be…

We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical and locally structured variations. For…

This paper, for the first time, focuses on the sector-wise analysis of a stock market through multifractal analysis. We have considered Bombay Stock Exchange, India, and identified two time scales, short ($<200$ days) and long time-scale…

One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a…

Cascades of events and extreme occurrences have garnered significant attention across diverse domains such as financial markets, seismology, and social physics. Such events can stem either from the internal dynamics inherent to the system…

Standard methods and theories in finance can be ill-equipped to capture highly non-linear interactions in financial prediction problems based on large-scale datasets, with deep learning offering a way to gain insights into correlations in…

Recently the statistical characterizations of financial markets based on physics concepts and methods attract considerable attentions. We used two possible procedures of analyzing multifractal properties of a time series. The first one uses…

We present a comparative analysis of multifractal properties of financial time series built on stock indices from developing (WIG) and developed (S&P500) financial markets. It is shown how the multifractal image of the market is altered…

We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…

Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking…

Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex price fluctuations guide and constraint our…