Continuous cascade models for asset returns (Q844574): Difference between revisions

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+Emmanuel Bacry
@@ Property / author: Emmanuel Bacry / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1016/j.jedc.2007.01.024
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+W1993817335
@@ Property / OpenAlex ID: W1993817335 / rank @@
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@@ Property / cites work @@
+Log-infinitely divisible multifractal processes
@@ Property / cites work: Log-infinitely divisible multifractal processes / rank @@
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+Singularity spectrum of fractal signals from wavelet analysis: Exact results
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+Multifractal products of cylindrical pulses
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+Theory of Financial Risk and Derivative Pricing
@@ Property / cites work: Theory of Financial Risk and Derivative Pricing / rank @@
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+Forecasting multifractal volatility
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+Velocity probability density functions of high Reynolds number turbulence
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+On Non-Scale-Invariant Infinitely Divisible Cascades
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+Empirical properties of asset returns: stylized facts and statistical issues
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+Modeling volatility persistence of speculative returns: a new approach
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+Large Sample Properties of Generalized Method of Moments Estimators
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+Sur certaines martingales de Benoit Mandelbrot
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+NEW INSIGHTS INTO THE ESTIMATION OF SCALING EXPONENTS
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+Multifractal power law distributions: Negative and critical dimensions and other ``anomalies'', explained by a simple example
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+Turbulent cascades: Limitations and a statistical test of the lognormal hypothesis
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+Statistical estimation for multiplicative cascades.
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+Q4301585
@@ Property / cites work: Q4301585 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:844574