Intraday dynamics of stock market returns and volatility
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DOI: 10.1016/j.physa.2005.12.019
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Citations
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- Chu, Carlin C.F. & Lam, K.P., 2011. "Modeling intraday volatility: A new consideration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 388-418, July.
- Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
- Mu, Guo-Hua & Zhou, Wei-Xing, 2008.
"Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5211-5218.
- Guo-Hua Mu & Wei-Xing Zhou, 2007. "Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index," Papers 0709.1219, arXiv.org.
- Sandrine Jacob Leal & Mauro Napoletano, 2017. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01768876, HAL.
- Naeem, Muhammad & Shahbaz, Muhammad & Saleem, Kashif & Mustafa, Faisal, 2019. "Risk analysis of high frequency precious metals returns by using long memory model," Resources Policy, Elsevier, vol. 61(C), pages 399-409.
- Negrea, Bogdan, 2014. "A statistical measure of financial crises magnitude," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 397(C), pages 54-75.
- Wei, Yu & Chen, Wang & Lin, Yu, 2013. "Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2163-2174.
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Keywords
Intraday return; Intraday volatility; Pivotal statistics; Multifractals; Self-similarity; Scaling; Omori's law;All these keywords.
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