Discovering stock dynamics through multidimensional volatility phases
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DOI: 10.1080/14697681003743040
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Cited by:
- Chaudhuri, Kausik & Sen, Rituparna & Tan, Zheng, 2018. "Testing extreme dependence in financial time series," Economic Modelling, Elsevier, vol. 73(C), pages 378-394.
- Chang, Lo-Bin & Geman, Stuart, 2013. "Empirical scaling laws and the aggregation of non-stationary data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(20), pages 5046-5052.
- Xiaodong Wang & Fushing Hsieh, 2021. "Unraveling S&P500 stock volatility and networks -- An encoding-and-decoding approach," Papers 2101.09395, arXiv.org, revised Oct 2021.
- Shu-Chun Chen & Hsieh Fushing & Chii-Ruey Hwang, 2013. "Discovering focal regions of slightly-aggregated sparse signals," Computational Statistics, Springer, vol. 28(5), pages 2295-2308, October.
- Hsieh Fushing & Shu-Chun Chen & Chii-Ruey Hwang, 2014. "Single Stock Dynamics on High-Frequency Data: From a Compressed Coding Perspective," PLOS ONE, Public Library of Science, vol. 9(2), pages 1-12, February.
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