Detecting market crashes by analysing long-memory effects using high-frequency data Article

Barany, E, Varela, MP Beccar, Florescu, I et al. (2012). Detecting market crashes by analysing long-memory effects using high-frequency data . QUANTITATIVE FINANCE, 12(4), 623-634. 10.1080/14697688.2012.664937

cited authors

  • Barany, E; Varela, MP Beccar; Florescu, I; Sengupta, I

authors

publication date

  • January 1, 2012

published in

keywords

  • Business & Economics
  • Business, Finance
  • CONVERGENCE
  • Data sampled with high frequency
  • Detrended fluctuation analysis
  • Economics
  • Hurst parameter
  • LEVY
  • Levy processes
  • Long memory effects
  • Mathematical Methods In Social Sciences
  • Mathematics
  • Mathematics, Interdisciplinary Applications
  • Physical Sciences
  • Science & Technology
  • Social Sciences
  • Social Sciences, Mathematical Methods
  • Truncated Levy flight

Digital Object Identifier (DOI)

publisher

  • ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD

start page

  • 623

end page

  • 634

volume

  • 12

issue

  • 4