FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2034032270> ?p ?o ?g. }

• W2034032270 endingPage "98" @default.
• W2034032270 startingPage "84" @default.
• W2034032270 abstract "Abstract We derive a heuristic method to estimate the degree of self-similarity and serial correlation in financial time series. Especially, we propagate the use of a tailor-made selection of different estimation techniques that are used in various fields of time series analysis but until now have not consequently found their way into the finance literature. Following the idea of portfolio diversification, we show that considerable improvements with respect to robustness and unbiasedness can be achieved by using a basket of estimation methods. With this methodological toolbox at hand, we investigate real market data to show that noticeable deviations from the assumptions of constant self-similarity and absence of serial correlation occur during certain periods. On the one hand, this may shed a new light on seemingly ambiguous scientific findings concerning serial correlation of financial time series. On the other hand, a proven time-changing degree of self-similarity may help to explain high-volatility clusters of stock price indices." @default.
• W2034032270 created "2016-06-24" @default.
• W2034032270 creator A5033690334 @default.
• W2034032270 creator A5063034552 @default.
• W2034032270 date "2015-09-01" @default.
• W2034032270 modified "2023-10-14" @default.
• W2034032270 title "Estimating serial correlation and self-similarity in financial time series—A diversification approach with applications to high frequency data" @default.
• W2034032270 cites W1552362148 @default.
• W2034032270 cites W1807452827 @default.
• W2034032270 cites W1966773887 @default.
• W2034032270 cites W1967500060 @default.
• W2034032270 cites W1972024464 @default.
• W2034032270 cites W1973694910 @default.
• W2034032270 cites W1974998144 @default.
• W2034032270 cites W1994233698 @default.
• W2034032270 cites W1997927852 @default.
• W2034032270 cites W2017821362 @default.
• W2034032270 cites W2031753087 @default.
• W2034032270 cites W2035064929 @default.
• W2034032270 cites W2036608004 @default.
• W2034032270 cites W2038224101 @default.
• W2034032270 cites W2038621549 @default.
• W2034032270 cites W2043528453 @default.
• W2034032270 cites W2044787776 @default.
• W2034032270 cites W2047621660 @default.
• W2034032270 cites W2063345715 @default.
• W2034032270 cites W2065541420 @default.
• W2034032270 cites W2066384319 @default.
• W2034032270 cites W2069523214 @default.
• W2034032270 cites W2072266493 @default.
• W2034032270 cites W2075280911 @default.
• W2034032270 cites W2080713461 @default.
• W2034032270 cites W2094340188 @default.
• W2034032270 cites W2100526182 @default.
• W2034032270 cites W2102616700 @default.
• W2034032270 cites W2103484453 @default.
• W2034032270 cites W2104697841 @default.
• W2034032270 cites W2111255674 @default.
• W2034032270 cites W2125520394 @default.
• W2034032270 cites W2128633294 @default.
• W2034032270 cites W2139388322 @default.
• W2034032270 cites W2144487825 @default.
• W2034032270 cites W2145632149 @default.
• W2034032270 cites W2147185987 @default.
• W2034032270 cites W2148402268 @default.
• W2034032270 cites W2254919187 @default.
• W2034032270 cites W3094633476 @default.
• W2034032270 cites W3123598380 @default.
• W2034032270 cites W3124112917 @default.
• W2034032270 cites W3150547458 @default.
• W2034032270 cites W4236030294 @default.
• W2034032270 cites W4240205250 @default.
• W2034032270 cites W4246390368 @default.
• W2034032270 cites W4253239620 @default.
• W2034032270 cites W4362227105 @default.
• W2034032270 doi "https://doi.org/10.1016/j.physa.2015.03.085" @default.
• W2034032270 hasPublicationYear "2015" @default.
• W2034032270 type Work @default.
• W2034032270 sameAs 2034032270 @default.
• W2034032270 citedByCount "6" @default.
• W2034032270 countsByYear W20340322702016 @default.
• W2034032270 countsByYear W20340322702017 @default.
• W2034032270 countsByYear W20340322702018 @default.
• W2034032270 countsByYear W20340322702019 @default.
• W2034032270 crossrefType "journal-article" @default.
• W2034032270 hasAuthorship W2034032270A5033690334 @default.
• W2034032270 hasAuthorship W2034032270A5063034552 @default.
• W2034032270 hasConcept C103278499 @default.
• W2034032270 hasConcept C105795698 @default.
• W2034032270 hasConcept C115961682 @default.
• W2034032270 hasConcept C117220453 @default.
• W2034032270 hasConcept C119453123 @default.
• W2034032270 hasConcept C124101348 @default.
• W2034032270 hasConcept C143724316 @default.
• W2034032270 hasConcept C144133560 @default.
• W2034032270 hasConcept C149782125 @default.
• W2034032270 hasConcept C151406439 @default.
• W2034032270 hasConcept C151730666 @default.
• W2034032270 hasConcept C154945302 @default.
• W2034032270 hasConcept C162853370 @default.
• W2034032270 hasConcept C180916674 @default.
• W2034032270 hasConcept C2524010 @default.
• W2034032270 hasConcept C33923547 @default.
• W2034032270 hasConcept C41008148 @default.
• W2034032270 hasConcept C5297727 @default.
• W2034032270 hasConcept C86803240 @default.
• W2034032270 hasConceptScore W2034032270C103278499 @default.
• W2034032270 hasConceptScore W2034032270C105795698 @default.
• W2034032270 hasConceptScore W2034032270C115961682 @default.
• W2034032270 hasConceptScore W2034032270C117220453 @default.
• W2034032270 hasConceptScore W2034032270C119453123 @default.
• W2034032270 hasConceptScore W2034032270C124101348 @default.
• W2034032270 hasConceptScore W2034032270C143724316 @default.
• W2034032270 hasConceptScore W2034032270C144133560 @default.
• W2034032270 hasConceptScore W2034032270C149782125 @default.
• W2034032270 hasConceptScore W2034032270C151406439 @default.
• W2034032270 hasConceptScore W2034032270C151730666 @default.
• W2034032270 hasConceptScore W2034032270C154945302 @default.

• next