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Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis

Lukas Vacha, Jozef Barunik

posted by LKristoufek's pictureLKristoufek, 31 January 2012

pdf other (463 views, 412 download, 0 comments)

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On Hurst exponent estimation under heavy-tailed distributions

Jozef Barunik, Ladislav Kristoufek

posted by LKristoufek's pictureLKristoufek, 31 January 2012

pdf other (440 views, 397 download, 0 comments)

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Monte Carlo-based tail exponent estimator

Jozef Barunik, Lukas Vacha

posted by LKristoufek's pictureLKristoufek, 31 January 2012

pdf other (467 views, 324 download, 0 comments)

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A drift formulation of Gresham's Law

Reginald D. Smith

posted by Rsmith's pictureRsmith, 23 January 2012

pdf ps other (417 views, 496 download, 0 comments)

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Towards a transdisciplinary econophysics

Franck Jovanovic and Christophe Schinckus

posted by gocadog's picturegocadog, 21 January 2012

pdf (410 views, 791 download, 0 comments)

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Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations

Ladislav Kristoufek

posted by LKristoufek's pictureLKristoufek, 18 January 2012

pdf other (453 views, 365 download, 0 comments)

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Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM

G. Cadogan

posted by gocadog's picturegocadog, 08 January 2012

other (522 views, 188 download, 1 comments)

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Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crashes

G. Cadogan

posted by gocadog's picturegocadog, 03 January 2012

other (428 views, 182 download, 0 comments)

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The Source of Uncertainty in Probabilistic Preferences Over Gambles

Godfrey Cadogan

posted by gocadog's picturegocadog, 15 December 2011

other (396 views, 150 download, 0 comments)

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