Pages that link to "Item:Q1367701"

The following pages link to From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (Q1367701):

Displaying 50 items.

• Monitoring persistent change in a heavy-tailed sequence with polynomial trends (Q395915) (← links)
• Truncating estimation for the change in stochastic trend with heavy-tailed innovations (Q451494) (← links)
• Institutional architectures and behavioral ecologies in the dynamics of financial markets (Q556412) (← links)
• Multivariate supOU processes (Q627238) (← links)
• Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method (Q665325) (← links)
• Bootstrap testing multiple changes in persistence for a heavy-tailed sequence (Q693235) (← links)
• An introduction to statistical finance (Q699524) (← links)
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
• Monitoring persistence change in infinite variance observations (Q744739) (← links)
• Quantifying and understanding the economics of large financial movements (Q844583) (← links)
• Common volatility and correlation clustering in asset returns (Q884052) (← links)
• Foreign exchange trading models and market behavior (Q951335) (← links)
• Speculative markets and the effectiveness of price limits (Q951476) (← links)
• Representativeness of news and exchange rate dynamics (Q953771) (← links)
• Switching phenomena in a system with no switches (Q963294) (← links)
• Generalised long-memory GARCH models for intra-daily volatility (Q1020691) (← links)
• Asymptotics of the sample coefficient of variation and the sample dispersion (Q1039473) (← links)
• Nonparametric vector autoregression (Q1299541) (← links)
• Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models (Q1299545) (← links)
• Energy price risk management (Q1577084) (← links)
• Local prelimit theorems and their applications to finance (Q1585526) (← links)
• Scaling properties of foreign exchange volatility (Q1588872) (← links)
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities (Q1591779) (← links)
• Fokker-Planck equation of distributions of financial returns and power laws (Q1591816) (← links)
• On the rigid body behavior of foreign exchange markets (Q1598564) (← links)
• ``Slimming'' of power-law tails by increasing market returns (Q1599010) (← links)
• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence (Q1600522) (← links)
• Empirical scaling laws and the aggregation of non-stationary data (Q1673262) (← links)
• Intelligent dynamic backlash agent: a trading strategy based on the directional change framework (Q1712017) (← links)
• Classification of normal and abnormal regimes in financial markets (Q1712061) (← links)
• Testing for parameter constancy in GARCH\((p,q)\) models (Q1767739) (← links)
• The sample autocorrelations of heavy-tailed processes with applications to ARCH (Q1807140) (← links)
• Scaling, self-similarity and multifractality in FX markets (Q1873901) (← links)
• Volatility clustering in agent based market models (Q1873924) (← links)
• Speculative behavior and the dynamics of interacting stock markets (Q1994607) (← links)
• Tail dependence and heavy tailedness in extreme risks (Q2038251) (← links)
• Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns (Q2051157) (← links)
• Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model (Q2288908) (← links)
• Option pricing with non-Gaussian scaling and infinite-state switching volatility (Q2347724) (← links)
• A partially observed ultra-high-frequency data model: risk-minimizing hedging (Q2462626) (← links)
• Limit order books (Q2871425) (← links)
• The scale of market quakes (Q2873023) (← links)
• Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks (Q2892976) (← links)
• Empirical distributions of stock returns: between the stretched exponential and the power law? (Q3375381) (← links)
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA (Q3523569) (← links)
• MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL (Q3606401) (← links)
• Portfolio diversification and value at risk under thick-tailedness† (Q3645198) (← links)
• Empirical Performance and Asset Pricing in Hidden Markov Models (Q4434427) (← links)
• A THRESHOLD MODEL FOR STOCK RETURN VOLATILITY AND TRADING VOLUME (Q4521272) (← links)
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (Q4528083) (← links)