124 citations · 172 across the 8 of their papers we have counts for
Showing q-fin.STShow all
2 papers · 1 filter
q-fin.ST2024★ 3 cited
Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series
Lucija Žignić, Stjepan Begušić, Zvonko Kostanjčar
Estimation of high-dimensional covariance matrices in latent factor models is an important topic in many fields and especially in finance. Since the number of financial assets grow…
q-fin.ST2018★ 124 cited
Scaling properties of extreme price fluctuations in Bitcoin markets
Stjepan Begušić, Zvonko Kostanjčar, H. Eugene Stanley +1
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has alw…