Financial Return Distributions: Past, Present, and COVID-19
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Summary
It is suggested that some other short-term processes related to a current market situation alter market dynamics and may mask this scenario and two factors—speed of the market time flow and the asset cross-correlation magnitude—while related, act in opposite directions with regard to the return distribution tails, which can affect the expected distribution convergence to the normal distribution.
- Type
- article
- Published
- 2021-07-01
- Cited by
- 44
- References
- 132
- Access
- Open access
- OpenAlex
- https://openalex.org/W3179514445
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:235829060
Keywords
Coronavirus disease 2019 (COVID-19), 2019-20 coronavirus outbreak, Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), Econometrics, Economics
References
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- Inverse cubic law for the distribution of stock price variations
- New statistic for financial return distributions: power-law or exponential?
- Scaling, stability and distribution of the high-frequency returns of the Ibex35 index
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Scaling and memory in the return intervals of realized volatility
- The Art of Fitting Financial Time Series with Levy Stable Distributions
- Comovements in Stock Prices in the Very Short Run
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- Radical Complexity
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- Cryptocurrency Market Consolidation in 2020–2021
- Cryptocurrency as Epidemiologically Safe Means of Transactions: Diminishing Risk of SARS-CoV-2 Spread
- Evidence of Economic Policy Uncertainty and COVID-19 Pandemic on Global Stock Returns
- Effects of COVID-19 on Cryptocurrency and Emerging Market Connectedness: Empirical Evidence from Quantile, Frequency, and Lasso Networks
- Complexity and Persistence of Price Time Series of the European Electricity Spot Market
- Analysis of inter-transaction time fluctuations in the cryptocurrency market.
- Cross-Market Correlations and Financial Contagion from Developed to Emerging Economies: A Case of COVID-19 Pandemic
- The changing economic relationship between some of the major COVID-19 impacted countries with prominent wealth: a comparative study from the view point of stock markets
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- Shannon Entropy: An Econophysical Approach to Cryptocurrency Portfolios
- Genuine multifractality in time series is due to temporal correlations.
- Observing Cryptocurrencies through Robust Anomaly Scores
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- Collective Dynamics, Diversification and Optimal Portfolio Construction for Cryptocurrencies
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