Multifractal scenarios for products of geometric Lévy-based stationary models
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Publication:3185980
DOI10.1080/07362994.2016.1164606zbMath1342.60075OpenAlexW2416389863MaRDI QIDQ3185980
Denis Denisov, Nikolai N. Leonenko
Publication date: 8 August 2016
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: http://orca.cf.ac.uk/89613/1/SAA_final.pdf
Lévy processeslong-range dependencestationary processesshort-range dependencesuperpositionsmultifractal productsgeometric Ornstein-Uhlenbeck processesRényi function\(\log\) normal tempered stable scenario\(\log\)-gamma scenario\(\log\)-normal scenario\(\log\)-variance gamma scenariogeometric Gaussian processmultifractal scenariosscaling of moments
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