24 citations · 24 across the 2 of their papers we have counts for
3 papers
q-fin.ST2008★ 24 cited
The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
L. Gazola, C. Fernandes, A. Pizzinga +1
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric app…
q-fin.ST2008
From short to fat tails in financial markets: A unified description
A. A. G. Cortines, R. Riera, C. Anteneodo
In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for…
physics.soc-ph2005
Additive-multiplicative stochastic models of financial mean-reverting processes
C. Anteneodo, R. Riera
We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property,…