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A Multifractal Model of Asset Returns. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
In: Cowles Foundation Discussion Papers.
RePEc:cwl:cwldpp:1164.

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  9. Cross-Country Linkages and Asymmetries of Sovereign Risk Pluralistic Investigation of CDS Spreads. (2022). Ghosh, Bikramaditya ; Papathanasiou, Spyros ; Kenourgios, Dimitrios.
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  11. Asymmetric multifractality in China’s energy market based on improved asymmetric multifractal cross-correlation analysis. (2022). Zhang, Hongwei ; Yao, Shanshan ; Yu, Zhuling ; Shi, Fengyuan ; Guo, Yaoqi.
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    In: Papers.
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  19. Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective. (2021). GUPTA, RANGAN ; Bouri, Elie ; Liu, Rui Peng.
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  22. Neural Options Pricing. (2021). Delise, Timothy.
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  29. On the Efficiency of Foreign Exchange Markets in times of the COVID-19 Pandemic. (2020). Khan, Maaz ; Mughal, Khurram S ; Nguyen, Duc Khuong ; Aziz, Saqib ; Aslam, Faheem.
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  30. Multifractal Analysis of Realized Volatilities in Chinese Stock Market. (2020). Fu, Junhui ; Zhang, Weiguo ; Liu, Yufang ; Wu, Xiang.
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  33. A Hypothesis Test Method for Detecting Multifractal Scaling, Applied to Bitcoin Prices. (2020). Maller, Ross A ; Dev, Priya ; Jiang, Chuxuan.
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  34. Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis. (2020). Rastogi, Shailesh ; Patil, Ashok Chanabasangouda.
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  35. Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak. (2020). Ferreira, Paulo ; Mohti, Wahbeeah ; Aslam, Faheem.
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  36. On the efficiency of foreign exchange markets in times of the COVID-19 pandemic. (2020). Nguyen, Duc Khuong ; Khan, Maaz ; Mughal, Khurrum S ; Aziz, Saqib ; Aslam, Faheem.
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  37. Fluctuation and volatility dynamics of stochastic interacting energy futures price model. (2020). Wang, Jun ; Zheng, Shenzhou.
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  39. Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality. (2020). Kukacka, Jiri ; Krištoufek, Ladislav.
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  41. Multifractal processes: Definition, properties and new examples. (2020). Grahovac, Danijel.
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  42. Characterization of ionospheric total electron content data using wavelet-based multifractal formalism. (2020). Gadre, Vikram M ; Seemala, Gopi K ; Chandrasekhar, E ; Bhardwaj, Shivam.
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  45. How Informative is High-Frequency data for Tail Risk Estimation and Forecasting?. (2019). Dimitriadis, Timo ; Halbleib, Roxana.
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  49. Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor.
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  51. Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature. (2019). Rastogi, Shailesh ; Patil, Ashok Chanabasangouda.
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  52. An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets. (2019). Tiwari, Aviral Kumar ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed.
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  57. Dynamically Adjustable Moving Average (AMA’) technical analysis indicator to forecast Asian Tigers’ futures markets. (2018). Phooi, Jacinta Chan.
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  58. Dynamic efficiency of European credit sectors: A rolling-window multifractal detrended fluctuation analysis. (2018). Shahzad, Syed Jawad Hussain ; Jammazi, Rania ; Hussain, Syed Jawad ; Aloui, Chaker.
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  61. A bright future for financial agent-based models. (2018). Bourgeois-Gironde, Sacha ; Belianin, Alexis ; Gutkin, B ; Lussange, J.
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  64. Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli.
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  76. Forecasting crude oil market volatility: A Markov switching multifractal volatility approach. (2016). Wang, Yudong ; Yang, LI ; Wu, Chongfeng.
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  78. Multifractal signal reconstruction based on singularity power spectrum. (2016). Zhang, Shuning ; Xia, Wenxiang ; Yu, Wenxian ; Xiong, Gang.
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  86. Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching. (2014). GUPTA, RANGAN ; Ben Nasr, Adnen ; Ajmi, Ahdi Noomen ; Lux, Thomas.
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  87. Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching. (2014). GUPTA, RANGAN ; Ben Nasr, Adnen ; Lux, Thomas ; Ajm, Ahdi Noomen .
    In: Economics Working Papers.
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  88. A simple microstructure return model explaining microstructure noise and Epps effects. (2014). Saichev, A ; Sornette, D.
    In: International Journal of Modern Physics C (IJMPC).
    RePEc:wsi:ijmpcx:v:25:y:2014:i:06:n:s0129183114500120.

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  89. Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching. (2014). GUPTA, RANGAN ; Ben Nasr, Adnen ; Ajmi, Ahdi Noomen ; Lux, Thomas.
    In: Working Papers.
    RePEc:pre:wpaper:201412.

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  90. Impact of Stock Market Structure on Intertrade Time and Price Dynamics. (2014). Perakakis, Pandelis ; Yuen, Ainslie ; Ch, Plamen.
    In: PLOS ONE.
    RePEc:plo:pone00:0092885.

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  91. Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching. (2014). GUPTA, RANGAN ; Ben Nasr, Adnen ; Ajmi, Ahdi Noomen ; Lux, Thomas.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-236.

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  92. Are the Scaling Properties of Bull and Bear Markets Identical? Evidence from Oil and Gold Markets. (2014). Gunay, Samet.
    In: IJFS.
    RePEc:gam:jijfss:v:2:y:2014:i:4:p:315-334:d:41741.

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  93. Evolutionary model of stock markets. (2014). Kaldasch, Joachim.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:415:y:2014:i:c:p:449-462.

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  94. Persistence intervals of fractals. (2014). Heermann, Dieter W. ; Mate, Gabriell .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:405:y:2014:i:c:p:252-259.

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  95. Financial market volatility and contagion effect: A copula–multifractal volatility approach. (2014). Liu, Maojuan ; Wei, YU ; Lin, YU ; Chen, Wang ; Lang, Qiaoqi .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:398:y:2014:i:c:p:289-300.

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  96. Forecasting daily return densities from intraday data: A multifractal approach. (2014). Olmo, Jose ; Hallam, Mark.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:4:p:863-881.

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  97. Goodness of fit assessment for a fractal model of stock markets. (2014). Frezza, Massimiliano.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:66:y:2014:i:c:p:41-50.

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  98. Detecting multifractal stochastic processes under heavy-tailed effects. (2014). Leonenko, Nikolai N ; Grahovac, Danijel.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:65:y:2014:i:c:p:78-89.

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  99. Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models. (2014). Sornette, Didier.
    In: Swiss Finance Institute Research Paper Series.
    RePEc:chf:rpseri:rp1425.

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  100. A Compound Multifractal Model for High-Frequency Asset Returns. (2014). Aldrich, Eric ; Heckenbach, Indra ; Laughlin, Gregory .
    In: BYU Macroeconomics and Computational Laboratory Working Paper Series.
    RePEc:byu:byumcl:201405.

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  101. The Random Walk of High Frequency Trading. (2014). Aldrich, Eric ; Heckenbach, Indra ; Laughlin, Gregory .
    In: Papers.
    RePEc:arx:papers:1408.3650.

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  102. Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models. (2014). Sornette, D..
    In: Papers.
    RePEc:arx:papers:1404.0243.

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  103. Are European equity markets efficient? New evidence from fractal analysis. (2014). Onali, Enrico ; Goddard, John.
    In: Papers.
    RePEc:arx:papers:1402.1440.

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  104. Self-affinity in financial asset returns. (2014). Onali, Enrico ; Goddard, John.
    In: Papers.
    RePEc:arx:papers:1401.7170.

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  105. Option pricing with non-Gaussian scaling and infinite-state switching volatility. (2014). Caporin, Massimiliano ; Stella, Attilio ; Caraglio, Michele ; Zamparo, Marco ; Baldovin, Fulvio .
    In: Papers.
    RePEc:arx:papers:1307.6322.

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  106. Exact solutions for the transient densities of continuous-time Markov switching models: With an application to the poisson multifractal model. (2013). Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1871.

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  107. Multifractal models in finance: Their origin, properties, and applications. (2013). Segnon, Mawuli ; Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1860.

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  108. Relative forecasting performance of volatility models: Monte Carlo evidence. (2013). Morales-Arias, Leonardo ; Lux, Thomas.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2013:i:9:p:1375-1394.

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  109. Multifractal Detrended Fluctuation Analysis of Human EEG: Preliminary Investigation and Comparison with the Wavelet Transform Modulus Maxima Technique. (2013). Mandelkern, Mark A ; Zorick, Todd.
    In: PLOS ONE.
    RePEc:plo:pone00:0068360.

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  110. A Markov-switching multifractal inter-trade duration model, with application to US equities. (2013). Schorfheide, Frank ; Diebold, Francis ; Chen, Fei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:320-342.

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  111. Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options. (2013). Lin, Bing-Huei ; Huang, Teng-Ching ; Chuang, Wen-I, .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:25:y:2013:i:c:p:168-187.

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  112. Fractal Dimension of S&P CNX Nifty Stock Returns. (2013). Lingaraja, Kasilingam ; Vasanth, Vinayagamoorthi ; KARPAGAM, Venkatraman ; Selvam, Murugesan ; GAYATHRI, Mahalingam .
    In: Asian Journal of Empirical Research.
    RePEc:asi:ajoerj:2013:p:1166-1190.

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  113. Multifractality and long memory of a financial index. (2013). David G'omez-Ullate, ; Pablo Su'arez-Garc'ia, .
    In: Papers.
    RePEc:arx:papers:1306.0490.

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  114. Variance optimal hedging for continuous time additive processes and applications. (2013). Goutte, Stéphane ; Russo, Francesco ; Oudjane, Nadia .
    In: Papers.
    RePEc:arx:papers:1302.1965.

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  115. STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS. (2012). Fang, Wen ; Wang, Jun.
    In: International Journal of Modern Physics C (IJMPC).
    RePEc:wsi:ijmpcx:v:23:y:2012:i:03:n:s0129183112500234.

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  116. Fractional Normal Inverse Gaussian Process. (2012). , Arunkumar ; Vellaisamy, Palaniappan ; Kumar, Arun.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:14:y:2012:i:2:d:10.1007_s11009-010-9201-z.

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  117. Baldovin-Stella stochastic volatility process and Wiener process mixtures. (2012). Peirano, Pier Paolo ; Challet, Damien.
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:85:y:2012:i:8:p:1-12:10.1140/epjb/e2012-30134-y.

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  118. Evidence of Multifractality from Emerging European Stock Markets. (2012). Caraiani, Petre.
    In: PLOS ONE.
    RePEc:plo:pone00:0040693.

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  119. A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities. (2012). Schorfheide, Frank ; Diebold, Francis ; Chen, Fei.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:12-020.

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  120. Agent-based risk management - A regulatory approach to financial markets. (2012). Theobald, Thomas.
    In: IMK Working Paper.
    RePEc:imk:wpaper:95-2012.

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  121. Self-affinity in financial asset returns. (2012). Onali, Enrico ; Goddard, John.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:24:y:2012:i:c:p:1-11.

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  122. Finite-size effect and the components of multifractality in financial volatility. (2012). Zhou, Wei-Xing.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:45:y:2012:i:2:p:147-155.

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  123. A multifractal approach towards inference in finance. (2012). Rypdal, Martin ; Lovsletten, Ola .
    In: Papers.
    RePEc:arx:papers:1202.5376.

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  124. Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations. (2012). Sirnes, Espen ; Lovsletten, Ola ; Rypdal, Martin .
    In: Papers.
    RePEc:arx:papers:1202.4877.

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  125. Understanding the source of multifractality in financial markets. (2012). Liu, Ruipeng ; Baruník, Jozef ; Barunik, Jozef ; Aste, Tomaso ; di Matteo, Tiziana.
    In: Papers.
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  126. Quantum Financial Economics - Risk and Returns. (2012). Gonccalves, Carlos Pedro .
    In: Papers.
    RePEc:arx:papers:1107.2562.

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  127. A Markov-switching multifractal approach to forecasting realized volatility. (2011). Lux, Thomas ; Sattarhoff, Cristina ; Morales-Arias, Leonardo .
    In: Kiel Working Papers.
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  128. Log-normal continuous cascade model of asset returns: aggregation properties and estimation. (2011). Kozhemyak, A. ; Muzy, J. F. ; Bacry, E..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2011:i:5:p:795-818.

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  129. Benoit B. Mandelbrot (1924-2010): a father of Quantitative Finance. (2011). M. A. H. DEMPSTER, .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:2:p:155-156.

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  130. Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models. (2011). Idier, Julien.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:17:y:2011:i:1:p:27-48.

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  131. Are European equity markets efficient? New evidence from fractal analysis. (2011). Onali, Enrico ; Goddard, John.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:20:y:2011:i:2:p:59-67.

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  132. Complexity, Financial Markets and their Scaling Laws. (2011). Sarkar, Amitava ; Mukherjee, Indranil .
    In: DEGIT Conference Papers.
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  133. Multifractal modeling of short-term interest rates. (2011). Rypdal, M. ; Lovsletten, O..
    In: Papers.
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  134. Dynamical Hurst exponent as a tool to monitor unstable periods in financial time series. (2011). Morales, Raffaello ; Aste, Tomaso ; Di Matteo, T. ; Gramatica, Ruggero .
    In: Papers.
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  135. Relative forecasting performance of volatility models: Monte Carlo evidence. (2010). Lux, Thomas ; Morales-Arias, Leonardo .
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1582.

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  136. Forecasting volatility under fractality, regime-switching, long memory and student-t innovations. (2010). Lux, Thomas ; Morales-Arias, Leonardo .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:54:y:2010:i:11:p:2676-2692.

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  137. Forecasting volatility under fractality, regime-switching, long memory and student-t innovations. (2009). Lux, Thomas ; Morales-Arias, Leonardo .
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1532.

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  138. Non-parametric estimation of a multiscale CHARN model using SVR. (2009). Safari, Amir ; Seese, Detlef .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:1:p:105-121.

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  139. Scaling issues for risky asset modelling. (2009). Heyde, Chris .
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:69:y:2009:i:3:p:593-603.

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  140. Behavioral approach to market and default risks modeling. (2009). Taguedong, Sylvain Chamberlain .
    In: MPRA Paper.
    RePEc:pra:mprapa:20641.

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  141. Applications of Statistical Physics in Finance and Economics. (2009). Lux, Thomas.
    In: Chapters.
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  142. Unifractality and multifractality in the Italian stock market. (2009). Onali, Enrico ; Goddard, John.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:4:p:154-163.

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  143. Multifractal structure in Latin-American market indices. (2009). Tabak, Benjamin ; Zunino, Luciano ; Rosso, Osvaldo A ; Garavaglia, Mario ; Perez, Dario G ; Figliola, Alejandra.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:41:y:2009:i:5:p:2331-2340.

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  144. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1426.

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  145. Applications of statistical physics in finance and economics. (2008). Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1425.

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  146. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:7328.

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  147. ECONOPHYSICS AND ECONOMIC COMPLEXITY. (2008). Rosser, Barkley.
    In: Advances in Complex Systems (ACS).
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  148. The Volatility of Realized Volatility. (2008). Mittnik, Stefan ; Corsi, Fulvio ; Pigorsch, Christian .
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:46-78.

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  149. Comparison between volatility return intervals of the S&P 500 index and two common models. (2008). Yamasaki, K. ; Vodenska-Chitkushev, I. ; Stanley, H. E. ; Wang, F. Z. ; Havlin, S. ; Weber, P..
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:61:y:2008:i:2:p:217-223.

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  150. The ups and downs of the renormalization group applied to financial time series. (2008). Peirano, Pier Paolo ; Challet, Damien.
    In: MPRA Paper.
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  151. A non-random walk revisited: short- and long-term memory in asset prices. (2008). Vitanza, Justin ; Eitelman, Paul.
    In: International Finance Discussion Papers.
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  152. Multifrequency jump-diffusions: An equilibrium approach. (2008). Fisher, Adlai ; Calvet, Laurent.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:44:y:2008:i:2:p:207-226.

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  153. Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models.. (2008). Idier, Julien.
    In: Working papers.
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  154. Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood. (2008). Frederiksen, Per ; Nielsen, Frank S..
    In: CREATES Research Papers.
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  155. CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT. (2007). OSTROVSKY, DMITRY.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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  156. BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE. (2007). OSTROVSKY, DMITRY.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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  157. Long memory options: LM evidence and simulations. (2007). Los, Cornelis ; JAMDEE, SUTTHISIT.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:21:y:2007:i:2:p:260-280.

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  158. Asset price dynamics in a financial market with heterogeneous trading strategies and time delays. (2007). Garofalo, Giuseppe ; Sansone, Alessandro .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:382:y:2007:i:1:p:247-257.

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  159. Self-similar characteristics of the currency exchange rate in an economy in transition. (2007). Cristescu, C. P. ; Scarlat, E. I. ; Stan, Cristina .
    In: Physica A: Statistical Mechanics and its Applications.
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  160. Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching. (2007). Lux, Thomas ; Kaizoji, Taisei.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:6:p:1808-1843.

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  161. Agent-based Models of Financial Markets. (2007). Lux, Thomas ; Stauffer, D. ; Zschischang, E. ; Samanidou, E..
    In: Papers.
    RePEc:arx:papers:physics/0701140.

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  162. Microscopic models of financial markets. (2006). Lux, Thomas ; Stauffer, Dietrich ; Zschischang, Elmar ; Samanidou, Egle.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:5162.

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  163. Multifrequency Jump-Diffusions: An Equilibrium Approach. (2006). Fisher, Adlai ; Calvet, Laurent.
    In: NBER Working Papers.
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  164. Intraday dynamics of stock market returns and volatility. (2006). Gencay, Ramazan ; Seluk, Faruk ; Genay, Ramazan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:367:y:2006:i:c:p:375-387.

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  165. MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS. (2005). Gil-Alana, Luis.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:08:y:2005:i:06:n:s0219024905003207.

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  166. Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays. (2005). Sansone, Alessandro ; Garofalo, Giuseppe.
    In: Finance.
    RePEc:wpa:wuwpfi:0510026.

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  167. Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate. (2005). Los, Cornelis ; JAMDEE, SUTTHISIT.
    In: Finance.
    RePEc:wpa:wuwpfi:0502021.

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  168. Estimation of the Stylized Facts of a Stochastic Cascade Model.. (2005). Azizieh, Celine ; Breymann, Wolfgang .
    In: Working Papers CEB.
    RePEc:sol:wpaper:05-009.

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  169. The Use of Downside Risk Measures in Portfolio Construction and Evaluation. (2005). Jacobsen, Brian J..
    In: Computing in Economics and Finance 2005.
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  170. Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays. (2005). Garofalo, Giuseppe ; Sansone, Alessandro .
    In: Working Papers.
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  171. Parallel cartoons of fractal models of finance. (2005). .
    In: Annals of Finance.
    RePEc:kap:annfin:v:1:y:2005:i:2:p:179-192.

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  172. Multifractal analysis of SSEC in Chinese stock market: A different empirical result from Heng Seng index. (2005). Huang, Dengshi ; Wei, YU.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:355:y:2005:i:2:p:497-508.

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  173. The Impact of the 9/11 Events on the American and French Stock Markets. (2005). Maillet, Bertrand ; Michel, Thierry L..
    In: Review of International Economics.
    RePEc:bla:reviec:v:13:y:2005:i:3:p:597-611.

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  174. The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility. (2004). Lux, Thomas.
    In: Economics Working Papers.
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  175. Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models. (2004). Lux, Thomas ; Kaizoji, Taisei.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:1936.

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  176. DETECTING MULTIFRACTAL PROPERTIES IN ASSET RETURNS: THE FAILURE OF THE SCALING ESTIMATOR. (2004). Lux, Thomas.
    In: International Journal of Modern Physics C (IJMPC).
    RePEc:wsi:ijmpcx:v:15:y:2004:i:04:n:s0129183104005887.

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  177. Persistence Characteristics of Latin American Financial Markets. (2004). Los, Cornelis ; Kyaw, Nyonyo ; ZONG, SIJING.
    In: Finance.
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  178. Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash. (2004). Los, Cornelis ; YALAMOVA, ROSSITSA M..
    In: Finance.
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  179. Maritime businesses: volatile stock prices and market valuation inefficiencies. (2004). Lombardo, Gary A. ; Mulligan, Robert F..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:44:y:2004:i:2:p:321-336.

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  180. Fractal analysis of highly volatile markets: an application to technology equities. (2004). Mulligan, Robert F..
    In: The Quarterly Review of Economics and Finance.
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  181. Multifractal model of asset returns with leverage effect. (2004). Kertesz, J. ; Eisler, Z..
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  183. Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes. (2004). Agaev, I. A. ; Yu. A. Kuperin, .
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  184. The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting. (2003). Lux, Thomas.
    In: Economics Working Papers.
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  187. Long-Range Dependence in Daily Volatility on Tunisian Stock Market. (2003). Aloui, Chaker.
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  189. Multifractality: Theory and Evidence an Application to the French Stock Market. (2003). Fillol, Jrme .
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  190. Interaction models for common long-range dependence in asset price volatilities. (2003). TEYSSIeRE, Gilles .
    In: CORE Discussion Papers.
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  191. Financial econometrics: Past developments and future challenges. (2001). Bollerslev, Tim.
    In: Journal of Econometrics.
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  192. Microscopic Models of Financial Markets. (2001). Lux, Thomas ; Stauffer, D. ; Zschischang, E. ; Samanidou, E..
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  196. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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  197. Forecasting Multifractal Volatility. (1999). Fisher, Adlai ; Calvet, Laurent.
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  198. Renormalization and fixed points in finance, since 1962. (1999). Mandelbrot, Benoit B..
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  199. GARCH in question ... and as a benchmark. (1999). Mansfield, Peter.
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  200. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
    In: Cowles Foundation Discussion Papers.
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  201. Large Deviations and the Distribution of Price Changes. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
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