Physica A Statistical Mechanics and its Applications · 2009 · 67 citations · 36 references
Social SciencesEconomicsFinanceEconometricsFinancial EconomicsTime Series AnalysisCommodity DerivativesCommodity Price DynamicsCommodity Price RiskFutures MarketsTemporal Dependence ModelingVolatility ModelingCommodity Market VolatilityFutures Market VolatilityFutures Price VolatilityFutures Pricing TheoryTime-varying Volatility DynamicsTime-varying Volatility ModelsWavelet-based Analysis
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The Variation of Certain Speculative Prices
Benoît B. Mandelbrot · The Journal of Business · 1963 · 4.7K citations
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Wavelet methods for time series analysis
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Gary B. Gorton, K. Geert Rouwenhorst · Financial Analysts Journal · 2006 · 1.4K citations