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Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range-based estimator
agricultural commodity market financial crisis of 2008–2009 futures markets historical price volatility intra-day data
2015/6/8
The paper examines the price volatility spillovers among the crude oil, soybeans, corn, wheat, and sugar futures markets over the period 1/1/2006–11/29/2013. We separately investigate the periods of t...
Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series
DFA and DMA synthetic long-range time series
2012/9/17
Notwithstanding the signi cant e orts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which cond...
Microscopic reasoning for the non-linear stochastic models of long-range memory
microfoundations agent based models stochastic models fnancial markets long-range memory
2011/7/4
We extend Kirman's model by introducing variable event time scale. The proposed
exi-
ble time scale is equivalent to the variable trading activity observed in nancial markets.
Stochastic version ...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
matrix theory quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
time series quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
Rescaled range analysis detrended fluctuation analysis Hurst exponent
2010/12/6
We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have bee...
Long Range Planning is one of the leading international journals in the field of strategic management that is published six times a year. It features articles which offer original research that bridge...
Cross-correlation of long-range correlated series
Cross-correlation long-range correlated series
2010/12/17
A method for estimating the cross-correlation $C_{xy}(\tau)$ of long-range correlated series $x(t)$ and $y(t)$, at varying lags $\tau$ and scales $n$, is proposed. For fractional Brownian motions with...
A long-range memory stochastic model of the return in financial markets
Models of financial markets Stochastic equations Power-law distributions Long memory processes
2010/10/29
We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the ab-solute return in financial markets. Abs...