Now showing items 1-4 of 4

    • Financial earthquakes, aftershocks and scaling in emerging stock markets 

      Selçuk, F. (Elsevier BV, 2004)
      This paper provides evidence for scaling laws in emerging stock markets. Estimated parameters using different definitions of volatility show that the empirical scaling law in every stock market is a power law. This power ...
    • Intraday dynamics of stock market returns and volatility 

      Selçuk, F.; Gençay, R. (Elsevier BV, 2006)
      This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that ...
    • Multiscale systematic risk 

      Gençay, R.; Selçuk, F.; Whitcher, B. (Pergamon Press, 2005)
      In this paper we propose a new approach to estimating systematic risk (the beta of an asset). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. ...
    • Scaling properties of foreign exchange volatility 

      Gençay, R.; Selçuk, F.; Whitcher, B. (Elsevier BV, 2001)
      In this paper, we investigate the scaling properties of foreign exchange volatility. Our methodology is based on a wavelet multi-scaling approach which decomposes the variance of a time series and the covariance between ...