Finance > Stylized Facts

Stylized Facts: Taxonomy

Andreou, Pittis and Spanos (2001)

Challet, Marsili and Zhang (2001)

Cont (2001)

Dacorogna, et al. (2001), page 121

[foreign exchange (FX) rates, interbank money market rates, and Eurofutures contracts]

Frances and van Dijk (2000)

[eight indexes of major stock markets and eight exchange rates vis-à-vas the US dollar...daily and weekly frequency]

Granger and Ding (1994)

[daily data]

Guillaume, et al. (1997)

[spot intra-daily foreign exchange markets]

Johnson, Jefferies and Hui (2003), page 69

Taylor (2005), page 51

[daily returns]