103 citations · 150 across the 6 of their papers we have counts for
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q-fin.ST2007★ 6 cited
Entropy and Uncertainty Analysis in Financial Markets
Andreia Dionisio, Rui Menezes, Diana A. Mendes
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to me…
q-fin.ST2007★ 103 cited
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…