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Citations for "New Methods in Statistical Economics"

by Benoit Mandelbrot

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  1. Raaj Sah & Rajeev Kohli, 2004. "Market Shares: Some Power Law Results and Observations," Working Papers 0401, Harris School of Public Policy Studies, University of Chicago.
  2. Shao, Barret Pengyuan & Rachev, Svetlozar T. & Mu, Yu, 2015. "Applied mean-ETL optimization in using earnings forecasts," International Journal of Forecasting, Elsevier, vol. 31(2), pages 561-567.
  3. Noureddine Krichene, 2008. "Crude Oil Prices; Trends and Forecast," IMF Working Papers 08/133, International Monetary Fund.
  4. Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul, 2015. "Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications," MPRA Paper 62807, University Library of Munich, Germany.
  5. Arakelian Veni & Karlis Dimitris, 2006. "Financial applications of flexible copula families based on mixing," Computing in Economics and Finance 2006 94, Society for Computational Economics.
  6. Mercuri, Lorenzo, 2008. "Option pricing in a Garch model with tempered stable innovations," Finance Research Letters, Elsevier, vol. 5(3), pages 172-182, September.
  7. Bashkirov, A.G. & Vityazev, A.V., 2000. "Information entropy and power-law distributions for chaotic systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 277(1), pages 136-145.
  8. B. Craven & Sardar Islam, 2008. "A model for stock market returns: non-Gaussian fluctuations and financial factors," Review of Quantitative Finance and Accounting, Springer, vol. 30(4), pages 355-370, May.
  9. Gaoge Hu & Shesheng Gao & Yongmin Zhong & Chengfan Gu, 2014. "Random weighting estimation of stable exponent," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(4), pages 451-468, May.
  10. Gencay, Ramazan & Selcuk, Faruk & Ulugulyagci, Abdurrahman, 2003. "High volatility, thick tails and extreme value theory in value-at-risk estimation," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 337-356, October.
  11. Cornelis A. Los, 2005. "The Degree of Stability of Price Diffusion," Finance 0508006, EconWPA.
  12. Brunetti, Celso & Scotti, Chiara & Mariano, Roberto S. & Tan, Augustine H.H., 2008. "Markov switching GARCH models of currency turmoil in Southeast Asia," Emerging Markets Review, Elsevier, vol. 9(2), pages 104-128, June.
  13. Attiya Y. Javed, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE-Working Papers 2000:179, Pakistan Institute of Development Economics.
  14. F. M. Scherer, 1993. "Pricing, Profits, and Technological Progress in the Pharmaceutical Industry," Journal of Economic Perspectives, American Economic Association, vol. 7(3), pages 97-115, Summer.
  15. Gencay, Ramazan & Selcuk, Faruk, 2004. "Extreme value theory and Value-at-Risk: Relative performance in emerging markets," International Journal of Forecasting, Elsevier, vol. 20(2), pages 287-303.
  16. de Mattos Neto, Paulo S.G. & Silva, David A. & Ferreira, Tiago A.E. & Cavalcanti, George D.C., 2011. "Market volatility modeling for short time window," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3444-3453.
  17. Sofia B. Villas-Boas & Qiuzi Fu & George Judge, 2015. "Is Benford’s Law a Universal Behavioral Theory?," Econometrics, MDPI, Open Access Journal, vol. 3(4), pages 698, October.
  18. Pontines, Victor & Siregar, Reza, 2009. "Intervention index and exchange rate regimes: the cases of selected East-Asian economies," MPRA Paper 17138, University Library of Munich, Germany.
  19. carlos León & Ron J. Berndsen, 2013. "Modular scale-free architecture of Colombian financial networks: Evidence and challenges with financial stability in view," Borradores de Economia 799, Banco de la Republica de Colombia.
  20. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  21. de Mattos Neto, Paulo S.G. & Cavalcanti, George D.C. & Madeiro, Francisco & Ferreira, Tiago A.E., 2013. "An ideal gas approach to classify countries using financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 177-183.
  22. Askari, Hossein & Krichene, Noureddine, 2008. "Oil price dynamics (2002-2006)," Energy Economics, Elsevier, vol. 30(5), pages 2134-2153, September.
  23. W David Walls, 2004. "Modeling movie success when "nobody knows anything": Conditional stable distribution analysis of film returns," Econometric Society 2004 Far Eastern Meetings 409, Econometric Society.
  24. Roberts, Matthew C., 1999. "Mixture Distributions: Curing Commodity Kurtosis?," 1999 Annual meeting, August 8-11, Nashville, TN 21604, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  25. Lin, Bing-Huei & Yeh, Shih-Kuo, 2000. "On the distribution and conditional heteroscedasticity in Taiwan stock prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 367-395, December.
  26. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2008. "Financial market models with Lévy processes and time-varying volatility," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1363-1378, July.
  27. Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016. "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 117-130.
  28. Mulligan, Robert F., 2010. "A fractal comparison of real and Austrian business cycle models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(11), pages 2244-2267.
  29. Haque, Mahfuzul & Varela, Oscar & Hassan, M. Kabir, 2007. "Safety-first and extreme value bilateral U.S.-Mexican portfolio optimization around the peso crisis and NAFTA in 1994," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 449-469, July.
  30. Toda, Alexis Akira, 2012. "The double power law in income distribution: Explanations and evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 84(1), pages 364-381.
  31. Kwan, Andy C.C. & Sim, Ah-Boon & Wu, Yangru, 2005. "A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 391-413, February.
  32. Tsionas, Efthymios G., 1998. "Monte Carlo inference in econometric models with symmetric stable disturbances," Journal of Econometrics, Elsevier, vol. 88(2), pages 365-401, November.
  33. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2009. "A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence," Empirical Economics, Springer, vol. 36(1), pages 201-229, February.
  34. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical distributions of Chinese stock returns at different microscopic timescales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 495-502.
  35. Jin, Hyun Joung & Frechette, Darren L., 2002. "Fractal Geometry In Agricultural Cash Price Dynamics," 2002 Annual meeting, July 28-31, Long Beach, CA 19696, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  36. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, Junio.
  37. Bettencourt, Luis M.A. & Lobo, Jose & Strumsky, Deborah, 2007. "Invention in the city: Increasing returns to patenting as a scaling function of metropolitan size," Research Policy, Elsevier, vol. 36(1), pages 107-120, February.
  38. Colino, Jesús P., 2008. "New stochastic processes to model interest rates : LIBOR additive processes," DES - Working Papers. Statistics and Econometrics. WS ws085316, Universidad Carlos III de Madrid. Departamento de Estadística.
  39. Mulligan, Robert F., 2004. "Fractal analysis of highly volatile markets: an application to technology equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 155-179, February.
  40. George Karathanassis & Vasilios Sogiakas, 2010. "Spill over effects of futures contracts initiation on the cash market: a regime shift approach," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 95-143, January.
  41. Mulligan, Robert F. & Koppl, Roger, 2011. "Monetary policy regimes in macroeconomic data: An application of fractal analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 201-211, May.
  42. Sergio Ortobelli Lozza & Enrico Angelelli & Daniele Toninelli, 2011. "Set-Portfolio Selection with the Use of Market Stochastic Bounds," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 5-24, November.
  43. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI, November.
  44. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Centre de Recherche en Economie et Statistique.
  45. Cao, Guangxi & Xu, Longbing & Cao, Jie, 2012. "Multifractal detrended cross-correlations between the Chinese exchange market and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4855-4866.
  46. Ortobelli, Sergio & Rachev, Svetlozar T. & Fabozzi, Frank J., 2010. "Risk management and dynamic portfolio selection with stable Paretian distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 195-211, March.
  47. Kirchler, Michael & Huber, Jürgen, 2009. "An exploration of commonly observed stylized facts with data from experimental asset markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1631-1658.
  48. Dagum, Camilo & Slottje, Daniel J., 2000. "A new method to estimate the level and distribution of household human capital with application," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 67-94, July.
  49. Broze, L. & Scaillet, O. & Zakoïan, J.-M., . "Testing for continuous-time models of the short-term interest rate," CORE Discussion Papers RP 1177, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  50. De Vany, Arthur S. & Walls, W. David, 2004. "Motion picture profit, the stable Paretian hypothesis, and the curse of the superstar," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1035-1057, March.
  51. Withanawasam, R.M. & Whigham, P.A. & Crack, Timothy Falcon, 2013. "Characterizing limit order prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5346-5355.
  52. Selçuk, Faruk, 2004. "Financial earthquakes, aftershocks and scaling in emerging stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 306-316.
  53. Chiang, Thomas C. & Doong, Shuh-Chyi, 1999. "Empirical analysis of real and financial volatilities on stock excess returns: evidence from Taiwan industrial data," Global Finance Journal, Elsevier, vol. 10(2), pages 187-200.
  54. Frank Milne & Dilip Madan, 1991. "Option Pricing With V. G. Martingale Components," Working Papers 1159, Queen's University, Department of Economics.
  55. Laszlo F. Korsos, 2013. "The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments," Papers 1306.0938, arXiv.org.
  56. Menn, Christian & Rachev, Svetlozar T., 2005. "A GARCH option pricing model with [alpha]-stable innovations," European Journal of Operational Research, Elsevier, vol. 163(1), pages 201-209, May.
  57. Mouck, T., 1998. "Capital markets research and real world complexity: The emerging challenge of chaos theory," Accounting, Organizations and Society, Elsevier, vol. 23(2), pages 189-203, February.
  58. O. Beelders, 2003. "An investigation of the unconditional distribution of South African stock index returns," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 623-633.
  59. Phillip A. Cartwright & Natalija Riabko, 2016. "Further evidence on the explanatory power of spot food and energy commodities market prices for futures prices," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 579-605, October.
  60. Selçuk, Faruk & Gençay, Ramazan, 2006. "Intraday dynamics of stock market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 375-387.
  61. Ortobelli, Sergio & Rachev, Svetlozar & Schwartz, Eduardo, 2000. "The Problem of Optimal Asset Allocation with Stable Distributed Returns," University of California at Los Angeles, Anderson Graduate School of Management qt3zd6q86c, Anderson Graduate School of Management, UCLA.
  62. Jon Danielsson & Lerby M. Ergun & Laurens de Haan & Casper G. de Vries, 2016. "Tail index estimation: quantile driven threshold selection," LSE Research Online Documents on Economics 66193, London School of Economics and Political Science, LSE Library.
  63. Sun, Wei & Rachev, Svetlozar & Fabozzi, Frank J., 2007. "Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns," Journal of Economics and Business, Elsevier, vol. 59(6), pages 575-595.
  64. Ayres, Robert & Voudouris, Vlasios, 2014. "The economic growth enigma: Capital, labour and useful energy?," Energy Policy, Elsevier, vol. 64(C), pages 16-28.
  65. John Dagsvik & Zhiyang Jia & Bjørn Vatne & Weizhen Zhu, 2013. "Is the Pareto–Lévy law a good representation of income distributions?," Empirical Economics, Springer, vol. 44(2), pages 719-737, April.
  66. Audretsch, David B. & Santarelli, Enrico & Vivarelli, Marco, 1999. "Start-up size and industrial dynamics: some evidence from Italian manufacturing," International Journal of Industrial Organization, Elsevier, vol. 17(7), pages 965-983, October.
  67. Babaei, Sadra & Sepehri, Mohammad Mehdi & Babaei, Edris, 2015. "Multi-objective portfolio optimization considering the dependence structure of asset returns," European Journal of Operational Research, Elsevier, vol. 244(2), pages 525-539.
  68. Mulligan, Robert F. & Lombardo, Gary A., 2004. "Maritime businesses: volatile stock prices and market valuation inefficiencies," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 321-336, May.
  69. Asmussen, Søren & Avram, Florin & Pistorius, Martijn R., 2004. "Russian and American put options under exponential phase-type Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 79-111, January.
  70. Jérôme Chave & Simon Levin, 2003. "Scale and Scaling in Ecological and Economic Systems," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 26(4), pages 527-557, December.
  71. De Giovanni, Domenico & Ortobelli, Sergio & Rachev, Svetlozar, 2008. "Delta hedging strategies comparison," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1615-1631, March.
  72. Sergio Ortobelli Lozza & Enrico Angelelli & Daniele Toninelli, 2011. "Set-Portfolio Selection with the Use of Market Stochastic Bounds," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 47(0), pages 5-24, November.
  73. Hartmann, P. & Straetmans, S. & de Vries, C.G., 2010. "Heavy tails and currency crises," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 241-254, March.
  74. Thomas Bundt & Robert Murphy, 2008. "Are residual economic relationships normally distributed? Testing an assumption of neoclassical economics," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 21(4), pages 329-340, December.
  75. Dale, Charles, 1985. "A Test of the Stable Paretian Hypothesis for the Distribution of Income," MPRA Paper 49272, University Library of Munich, Germany.
  76. Tastan, Hüseyin, 2006. "Estimating time-varying conditional correlations between stock and foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 445-458.
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