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My bibliography Save this paperAutocorrelation as a Source of Truncated Levy Flights in Foreign Exchange Rates
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- Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2003. "Autocorrelation as a source of truncated Lévy flights in foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 601-625.
References listed on IDEAS
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Cited by:
- Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "On the origins of truncated Lévy flights," Finance 0404013, University Library of Munich, Germany.
- Matsushita, Raul & Gleria, Iram & Figueiredo, Annibal & Rathie, Pushpa & Da Silva, Sergio, 2004.
"Exponentially damped Lévy flights, multiscaling, and exchange rates,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 353-369.
- Sergio Da Silva, 2004. "Exponentially Damped Levy Flights, Multiscaling, and Exchange Rates," Finance 0405027, University Library of Munich, Germany.
- Liu, Lei & Hu, Fei, 2013. "Cascade-like and scaling behavior of wind velocity increments in the atmospheric surface layer," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5808-5816.
- Gleria, Iram & Figueiredo, Annibal & Matsushita, Raul & Rathie, Pushpa & Da Silva, Sergio, 2004.
"Exponentially damped Lévy flights, multiscaling and slow convergence in stockmarkets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(1), pages 200-206.
- Sergio Da Silva, 2004. "Exponentially Damped Levy Flights, Multiscaling, and Slow Convergence in Stockmarkets," Finance 0405028, University Library of Munich, Germany.
- Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2004.
"Lévy flights, autocorrelation, and slow convergence,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 369-383.
- Sergio Da Silva, 2004. "Levy Flights, Autocorrelation, and Slow Convergence," Finance 0405021, University Library of Munich, Germany.
- De Domenico, Federica & Livan, Giacomo & Montagna, Guido & Nicrosini, Oreste, 2023. "Modeling and simulation of financial returns under non-Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
- Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, University Library of Munich, Germany.
- da Silva, Roberto & Zembrzuski, Marcelo & Correa, Fabio C. & Lamb, Luis C., 2010. "Stock markets and criticality in the current economic crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5460-5467.
- Medino, Ary V. & Lopes, Sílvia R.C. & Morgado, Rafael & Dorea, Chang C.Y., 2012. "Generalized Langevin equation driven by Lévy processes: A probabilistic, numerical and time series based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 572-581.
- Sergio Da Silva, 2004. "Autocorrelation and the Sum of Stochastic Variables," Finance 0405020, University Library of Munich, Germany.
- Matsushita, Raul & Rathie, Pushpa & Da Silva, Sergio, 2003.
"Exponentially damped Lévy flights,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 326(3), pages 544-555.
- Sergio Da Silva, 2004. "Exponentially Damped Levy Flights," Finance 0406002, University Library of Munich, Germany.
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More about this item
JEL classification:
- G - Financial Economics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2004-05-26 (Econometric Time Series)
- NEP-FIN-2004-05-26 (Finance)
- NEP-IFN-2004-05-26 (International Finance)
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