103 citations · 104 across the 4 of their papers we have counts for
4 papers
Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016
Rui Menezes, Sonia Bentes
This study analyses the duration dependence of events that trigger volatility persistence in stock markets. Such events, in our context, are monthly spells of contiguous price decl…
Econophysics: A new discipline
Sonia R. Bentes
This paper debates the contribution of Econophysics to the economic or financial domains. Since the traditional approach performed by Economics or Finance has revealed to be insuff…
Stock market volatility: An approach based on Tsallis entropy
Sonia R. Bentes, Rui Menezes, Diana A. Mendes
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why pri…
Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?
Sonia R. Bentes, Rui Menezes, Diana A. Mendes
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally hetero…