Properties of a simple bilinear stochastic model: Estimation and predictability (Q2482024): Difference between revisions

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-Didier Sornette
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+Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
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+Modelling financial time series using multifractal random walks
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+Log-infinitely divisible multifractal processes
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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+Multifractal products of cylindrical pulses
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+Estimation of Some Bilinear Time Series Models with Time Varying Coefficients
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+Maximum likelihood estimation in space time bilinear models
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+Probability distribution of returns in the Heston model with stochastic volatility*
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Identification of a class of non-linear systems with gaussian non-white inputs
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+Implicit renewal theory and tails of solutions of random equations
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+Large Sample Properties of Generalized Method of Moments Estimators
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+Miscellanea. A note on tests for nonlinearity in a vector time series
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Random difference equations and renewal theory for products of random matrices
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+Empirical distributions of stock returns: between the stretched exponential and the power law?
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+Multifractal returns and hierarchical portfolio theory
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+A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION
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+The skewed multifractal random walk with applications to option smiles
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+Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
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+MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
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+Extremes of bilinear time series models
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+Publication:2482024