Controversy in financial chaos research and nonlinear dynamics: a short literature review
M Vogl - Chaos, Solitons & Fractals, 2022 - Elsevier
In this study, we apply a bibliometric analysis paired with a subsequent snowball sampling
procedure. Moreover, we display a full citation network analysis, outlining the most relevant …
procedure. Moreover, we display a full citation network analysis, outlining the most relevant …
Nonlinear tail dependence in cryptocurrency-stock market returns: The role of Bitcoin futures
A Lahiani, NB Jlassi - Research in International Business and Finance, 2021 - Elsevier
We investigate the median and tail dependence between cryptocurrency and stock market
returns of BRICS and Developed countries using a newly developed nonparametric …
returns of BRICS and Developed countries using a newly developed nonparametric …
Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)
M Vogl - SN Business & Economics, 2022 - Springer
This study provides a holistic and quantitative overview of over 800 mathematical methods
(eg, financial and risk models, statistical tests, statistics and advanced algorithms) taken out …
(eg, financial and risk models, statistical tests, statistics and advanced algorithms) taken out …
Chaoticity versus stochasticity in financial markets: Are daily S&P 500 return dynamics chaotic?
In this paper, we empirically show the dynamics of daily wavelet-filtered (denoised) S&P 500
returns (2000–2020) to consist of an almost equally divided combination of stochastic and …
returns (2000–2020) to consist of an almost equally divided combination of stochastic and …
COVID-19 pandemic and the dependence structure of global stock markets
In this paper, we examine the changes in the dependence structure of global stock markets
amid the outbreak of COVID-19. We divide 56 stock markets into developed, emerging, and …
amid the outbreak of COVID-19. We divide 56 stock markets into developed, emerging, and …
Chaos measure dynamics in a multifactor model for financial market predictions
M Vogl - Communications in Nonlinear Science and Numerical …, 2024 - Elsevier
To answer the question if chaos changes over time, we apply rolling windows to wavelet-
denoised logarithmic S&P500 returns (2000–2020) and calculate consecutive chaos …
denoised logarithmic S&P500 returns (2000–2020) and calculate consecutive chaos …
Computing impulse response functions from a copula-based vector autoregressive model: evidence from the italian agri-food value chain
We investigate the presence of asymmetric vertical price contagions in the Italian pork
market, describing the multiple dependence structure along the supply chain and evaluating …
market, describing the multiple dependence structure along the supply chain and evaluating …
[HTML][HTML] Chaos Analysis Framework: How to Safely Identify and Quantify Time-Series Dynamics
M Vogl - Nonlinear Systems-Recent Developments and …, 2022 - intechopen.com
Within this chapter, a practical introduction to a nonlinear analysis framework tailored for
time-series data is provided, enabling the safe quantification of underlying evolutionary …
time-series data is provided, enabling the safe quantification of underlying evolutionary …
[CITATION][C] Chaos Analysis Framework: How to Safely Identify and Quantify Time-Series Dynamics
M Vogl